Option Pricing Under Incompleteness and Stochastic Volatility

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Numerical Solution of Stochastic Differential Equations

1992 • 4,632 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Continuous-Time Finance.

1991 • 1,946 citations

Optimal consumption and portfolio policies when asset prices follow a diffusion process

1989 • 1,697 citations

Lecture notes in control and information sciences

1991 • 1,655 citations

Brownian Motion and Stochastic Calculus

1988 • 1,489 citations

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

1987 • 1,141 citations

Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

1987 • 987 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

1991 • 792 citations

Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

1991 • 473 citations

Approximate Integration of Stochastic Differential Equations

1975 • 467 citations

Option Pricing when the Variance is Changing

1987 • 398 citations

Numerical Treatment of Stochastic Differential Equations

1982 • 386 citations

Explicit Solution of a General Consumption/Investment Problem

1986 • 383 citations

Option hedging for semimartingales

1991 • 355 citations

On the theory of option pricing

1984 • 298 citations

Optimization Problems in the Theory of Continuous Trading

1989 • 297 citations

Mean-Variance Hedging for General Claims

1992 • 266 citations

A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

1979 • 247 citations

Discretization and simulation of stochastic differential equations

1985 • 204 citations

Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model

1990 • 203 citations

Numerical integration of stochastic differential equations

1988 • 202 citations

Applied Stochastic Analysis

1992 • 186 citations

The approximation of multiple stochastic integrals

1992 • 92 citations

Martingale densities for general asset prices

1992 • 78 citations

Time Discrete Taylor Approximations for Itǒ Processes with Jump Component

1988 • 68 citations

An asymptotically efficient difference formula for solving stochastic differential equations

1986 • 44 citations

Resolution trajectorielle et analyse numerique des equations differentielles stochastiques

1983 • 43 citations

Diffusion Approximation in Past Dependent Models and Applications to Option Pricing

1991 • 27 citations

Three essays in optimal consumption

1989 • 8 citations