On refined volatility smile expansion in the Heston model
From MaRDI portal
Publication:5300441
DOI10.1080/14697688.2010.541486zbMath1267.91068arXiv1001.3003MaRDI 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
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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