References

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• 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
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• 1998Robustness of the Black and Scholes Formula363 cited
• 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
• 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
• 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
• 2003Singular Perturbations in Option Pricing187 cited
• 2010Time Dependent Heston Model160 cited
• 2012The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model116 cited
• 2009Smart expansion and fast calibration for jump diffusions73 cited
• 2010Asymptotic formulae for implied volatility in the Heston model58 cited
• 2012A decomposition formula for option prices in the Heston model and applications to option pricing approximation