Option Valuation with Systematic Stochastic Volatility

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

The Variance Gamma (V.G.) Model for Share Market Returns

1990 • 1,562 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Options: A Monte Carlo approach

1977 • 1,315 citations

Fact and Fantasy in the Use of Options

1975 • 1,046 citations

ARCH models as diffusion approximations

1990 • 974 citations

THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

1972 • 729 citations

On Jump Processes in the Foreign Exchange and Stock Markets

1988 • 657 citations

Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978

1985 • 642 citations

The Valuation of Option Contracts and a Test of Market Efficiency

1972 • 601 citations

The Pricing of Contingent Claims in Discrete Time Models

1979 • 571 citations

Models of Stock Returns—A Comparison

1984 • 561 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns

1990 • 421 citations

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

1985 • 410 citations

Valuation of American call options on dividend-paying stocks

1982 • 324 citations

Pricing foreign currency options under stochastic interest rates

1991 • 303 citations

Jump Risks and the Intertemporal Capital Asset Pricing Model

1984 • 257 citations

A multi-dynamic-factor model for stock returns

1992 • 232 citations

Asymmetric Predictability of Conditional Variances

1991 • 209 citations

A Microeconomic Approach to Diffusion Models For Stock Prices

1993 • 129 citations

The Pricing of Stock Index Options in a General Equilibrium Model

1989 • 116 citations

The Valuation of Multivariate Contingent Claims in Discrete Time Models

1984 • 109 citations

A Simple Approach to Interest-Rate Option Pricing

1991 • 95 citations

Option Pricing Model Estimates: Some Empirical Results

1982 • 64 citations

SUPERVISORY INFLUENCE ON BANK CAPITAL

1972 • 35 citations