On refined volatility smile expansion in the Heston model

DOI10.1080/14697688.2010.541486zbMath1267.91068arXiv1001.3003OpenAlexW2054646230MaRDI QIDQ5300441

Peter K. Friz, Stefan Gerhold, Stephan Sturm, Archil Gulisashvili

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.3003

zbMATH Keywords

stochastic volatilitydifferential equationsderivatives pricingvolatility smile fitting

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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