Exponentiation of conditional expectations under stochastic volatility (Q5215433): Difference between revisions

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+A generalization of the Hull and White formula with applications to option pricing approximation
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+A decomposition formula for option prices in the Heston model and applications to option pricing approximation
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+Pricing under rough volatility
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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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+Perfect hedging in rough Heston models
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+The characteristic function of rough Heston models
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+Q4509488
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+Large deviations and asymptotic methods in finance
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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
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+Affine forward variance models
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+RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
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+From characteristic functions to implied volatility expansions
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+Q4942767
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+Stochastic Taylor Expansions for Functionals of Diffusion Processes
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+SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED
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