Asymptotic expansion formula of option price under multifactor Heston model (Q2398581): Difference between revisions

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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Pricing options under stochastic volatility: a power series approach
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+A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
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+Time Dependent Heston Model
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+Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
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+Consistent variance curve models
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+A multifactor volatility Heston model
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+Q4509488
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+Multiscale Stochastic Volatility Asymptotics
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+Maturity cycles in implied volatility
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+A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
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+On the Number of State Variables in Options Pricing
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+The Malliavin Calculus and Related Topics
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+An Asymptotic Expansion with Push-Down of Malliavin Weights
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+Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
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+CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
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