Option values under stochastic volatility: Theory and empirical estimates

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

The Advanced Theory of Statistics.

1978 • 6,960 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

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The variation of certain speculative prices

1997 • 4,766 citations

The theory and practice of econometrics

1986 • 4,551 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Principles of Econometrics

1973 • 3,349 citations

The valuation of options for alternative stochastic processes

1976 • 3,064 citations

On estimating the expected return on the market

1980 • 2,932 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

The Advanced Theory of Statistics

1963 • 1,885 citations

The Extreme Value Method for Estimating the Variance of the Rate of Return

1980 • 1,853 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

On the Estimation of Security Price Volatilities from Historical Data

1980 • 1,466 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 1,217 citations

The valuation of compound options

1979 • 1,130 citations

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

1987 • 987 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

The Theory and Practice of Econometrics.

1981 • 866 citations

Approximate option valuation for arbitrary stochastic processes

1982 • 636 citations

Models of Stock Returns—A Comparison

1984 • 561 citations

The Statistical Analysis of Variance-Heterogeneity and the Logarithmic Transformation

1946 • 450 citations

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

1985 • 410 citations

Principles of Econometrics

1971 • 406 citations

Option Pricing when the Variance is Changing

1987 • 398 citations

The Constant Elasticity of Variance Model and Its Implications For Option Pricing

1980 • 283 citations

Models of Stock Returns--A Comparison

1984 • 257 citations

Displaced Diffusion Option Pricing

1983 • 247 citations

Hopscotch: a Fast Second-order Partial Differential Equation Solver

1970 • 230 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 230 citations

COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

1978 • 224 citations

Variances of Security Price Returns Based on High, Low, and Closing Prices

1983 • 205 citations

Valuation of American Futures Options: Theory and Empirical Tests

1986 • 184 citations

THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

1976 • 156 citations

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

1977 • 154 citations

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

1985 • 95 citations

A General Theory of Asset Valuation under Diffusion State Processes

1976 • 89 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

Option arbitrage and strategy with large price changes

1984 • 79 citations

Common Stock Volatility Expectations Implied by Option Premia

1978 • 77 citations

The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative

1977 • 65 citations

Non-trading, market making, and estimates of stock price volatility

1986 • 59 citations

The Constant Elasticity of Variance Model and Its Implications For Option Pricing

1980 • 59 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 49 citations

Displaced Diffusion Option Pricing

1983 • 47 citations

Valuation of American Futures Options: Theory and Empirical Tests

1986 • 44 citations

The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns

1976 • 30 citations