[Tex/LaTex] Warning Undefined citation from bibtex (export from Mendeley)

bibtexwarnings

I have problems when compiling my code. Latex tells me it is the piece of code shown below. The bibtex file seems to have the correct format (I exported it from Mendeley) but LaTeX gives me a warning and tells me that there is an undefined citation (Bakshi2003). Any idea on how to change this? (I followed an example where it seemed to work).

\documentclass[12pt]{article}
\usepackage{graphicx}
\usepackage[top=2.5cm, bottom=2.5cm, left=2.5cm, right=2.5cm]{geometry}
\usepackage{fancyhdr}
\usepackage[british,UKenglish,USenglish,english,american]{babel}
\usepackage[utf8]{inputenc} 
\usepackage{lmodern}
\usepackage[T1]{fontenc}
\usepackage{url}
\usepackage{amsmath}
\usepackage{amsfonts,graphicx,amsmath,amssymb,hyperref,color}
\usepackage[all]{xy}
\usepackage{setspace}
\usepackage{natbib}
\usepackage{blindtext}
%\usepackage{cite}
\onehalfspacing
%\input xy
%\xyoption{all}
\makeindex
\frenchspacing
\sloppy
\usepackage{times}
\usepackage{tikz}
%\usetikzlibrary{arrows,automata}
\usepackage{mathrsfs}
\numberwithin{equation}{section}
\title{Option Implied Distributions}
\author{Nis Mathias Schulte Matzen}



\begin{document}
%\maketitle
%\publishdate{\toda}
%\makeauthor
\begin{titlepage}
\begin{center}
    \vspace*{1cm}

    \Huge
    \textbf{Option Implied Distributions}

    \vspace{0.5cm}
    \LARGE
    A study of risk neutral return distributions

    \vspace{1.5cm}

    \textbf{Nis Mathias Schulte Matzen}

    \vfill

    A thesis presented for the degree of\\
    Master in Economics (Cand.polit)

    \vspace{0.8cm}

    %\includegraphics[width=0.4\textwidth]{university}

    \Large
    Department of Economics\\
    University of Copenhagen\\
    Denmark\\
    \date{}

\end{center}
\end{titlepage}
\begin{abstract}
Abstract here...
\end{abstract}
\newpage
\tableofcontents
\newpage
\subsection{Introduction}% a
Here is yada yada \cite{Bakshi2003} yada.

\bibliographystyle{plain}
\bibliography{Thesis.bib}
\end{document} 

The Thesis.bib file looks like this:

@article{Bakshi2003, 
author = {Bakshi, G.}, doi = {10.1093/rfs/hhg002}, 
file = {:C$\backslash$:/Users/Mathias/Dropbox/Speciale/Delta-hedgedgains 
and the negative   market volatility risk premium.pdf:pdf}, issn = {14657368},  
journal = {Review of Financial Studies}, month = apr, number = {2}, pages = {527--
566}, title = {{Delta-Hedged Gains and the Negative Market Volatility Risk
Premium}}, url = {rfs.oupjournals.org/cgi/doi/10.1093/rfs/hhg002}, volume = {16},
year = {2003} }

Best Answer

Example works just fine after I do this substitution

\bibliography{Thesis.bib} -> \bibliography{Thesis}

and use pdflatex, bibtex, pdflatex, pdflatex

BTW: a much simpler MWE:

\begin{filecontents*}{Thesis.bib}
@article{Bakshi2003, 
  author = {Bakshi, G.}, 
doi = {10.1093/rfs/hhg002}, 
file =
{:C$\backslash$:/Users/Mathias/Dropbox/Speciale/Delta-hedgedgains and
  the negative market volatility risk premium.pdf:pdf}, 
issn = {14657368}, journal = {Review of Financial Studies}, month =
apr, number = {2}, 
pages = {527--566}, title = {{Delta-Hedged Gains and the Negative
    Market Volatility Risk Premium}}, 
url = {rfs.oupjournals.org/cgi/doi/10.1093/rfs/hhg002}, volume = {16}, year = {2003} }
\end{filecontents*}
\documentclass[12pt]{article}
\usepackage[utf8]{inputenc} 
\usepackage{lmodern}
\usepackage[T1]{fontenc}
\usepackage{url}
\begin{document}
Here is yada yada \cite{Bakshi2003} yada.

\bibliographystyle{plain}
\bibliography{Thesis}
\end{document} 
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