On refined volatility smile expansion in the Heston model (Q5300441): Difference between revisions

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+.3003
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+Moment explosions in stochastic volatility models
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+Smile Asymptotics II: Models with Known Moment Generating Functions
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+REGULAR VARIATION AND SMILE ASYMPTOTICS
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+MODERN LOGARITHMS FOR THE HESTON MODEL
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+Asymptotic formulae for implied volatility in the Heston model
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+Euler estimates for rough differential equations
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+Multidimensional Stochastic Processes as Rough Paths
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+Convergence of Heston to SVI
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+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Correlations and bounds for stochastic volatility models
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+The Coefficients of a Certain Power Series
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