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Saddlepoint approximations to option prices

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1995Hyperbolic Distributions in Finance959 cited
1995Option pricing by Esscher transforms.651 cited
1995Saddlepoint Approximations400 cited
1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods389 cited
1993Invisible Parameters in Option Prices133 cited
1997Subordinated Market Index Models: A Comparison67 cited

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2013ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS60 cited
2010Asymptotic formulae for implied volatility in the Heston model58 cited
2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models58 cited
2009A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS41 cited
2008Saddlepoint approximations for affine jump-diffusion models38 cited

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