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Cited by

• 2011On the Heston Model with Stochastic Interest Rates248 cited
• 2012Realized Skewness214 cited
• 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
• 2016THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL163 cited
• 2010Time Dependent Heston Model160 cited
• 2008Pricing options on realized variance in the Heston model with jumps in returns and volatility149 cited
• 2011A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model137 cited
• 2014First order strong approximations of scalar SDEs defined in a domain134 cited
• 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited
• 2009Gamma expansion of the Heston stochastic volatility model103 cited
• 2010COMPLEX LOGARITHMS IN HESTON-LIKE MODELS99 cited
• 2009Extension of stochastic volatility equity models with the Hull–White interest rate process75 cited
• 2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models71 cited
• 2010Efficient, almost exact simulation of the Heston stochastic volatility model