The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 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 options for alternative stochastic processes

1976 • 3,064 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

Efficient Analytic Approximation of American Option Values

1987 • 1,044 citations

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

1987 • 987 citations

ARCH models as diffusion approximations

1990 • 974 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 citations

The relation between forward prices and futures prices

1981 • 770 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

Option Pricing when the Variance is Changing

1987 • 398 citations

Bubbles, Rational Expectations and Financial Markets

1982 • 384 citations

A Simplified Jump Process for Common Stock Returns

1983 • 300 citations

Valuation of American Futures Options: Theory and Empirical Tests

1986 • 184 citations

Forward and Futures Prices: Evidence from the Foreign Exchange Markets

1981 • 176 citations

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

1976 • 156 citations

Option arbitrage and strategy with large price changes

1984 • 79 citations

On the use of European models to price American options on foreign currency

1986 • 67 citations

Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence

1987 • 36 citations