Asymptotic formulae for implied volatility in the Heston model (Q2997309): Difference between revisions

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+W1974832466
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+.2992
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+Saddlepoint approximations for continuous-time Markov processes
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+Smile Asymptotics II: Models with Known Moment Generating Functions
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+REGULAR VARIATION AND SMILE ASYMPTOTICS
@@ Property / cites work: REGULAR VARIATION AND SMILE ASYMPTOTICS / rank @@
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+Computing the implied volatility in stochastic volatility models
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+Saddlepoint methods for option pricing
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+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
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+Analytical methods for hedging systematic credit risk with linear factor portfolios
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Can the implied volatility surface move by parallel shifts?
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+Saddlepoint approximations to option prices
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+Asymptotics of Implied Volatility far from Maturity
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