References

No references inside the corpus for this window.

Cited by

• 2006Options and Bubbles206 cited
• 2007Option pricing when correlations are stochastic: an analytical framework206 cited
• 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
• 2010Time Dependent Heston Model160 cited
• 2007A new approach for option pricing under stochastic volatility151 cited
• 2005A General Asymptotic Implied Volatility for Stochastic Volatility Models113 cited
• 2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING111 cited
• 2010The Econometrics of Option Pricing110 cited
• 2013A regime-switching Heston model for VIX and S&P 500 implied volatilities92 cited
• 2005Stochastic Volatility Model with Time‐dependent Skew85 cited
• 2012An Asymptotic Expansion with Push-Down of Malliavin Weights82 cited
• 2013Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations78 cited
• 2005Calibration of the SABR Model in Illiquid Markets71 cited
• 2011Convergence of Heston to SVI70 cited
• 2010The Black–Scholes equation in stochastic volatility models