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Not-so-complex logarithms in the Heston model

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References

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1999Option valuation using the fast Fourier transform2,155 cited
1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension424 cited
2004Option pricing by transform methods: extensions, unification and error control328 cited

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2009Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility50 cited
2011FX smile in the Heston model49 cited
2011A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model47 cited
2007Pricing exotic options with L-stable Padé schemes39 cited
2006Why the Rotation Count Algorithm Works39 cited

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2011

The Pricing of Path-Dependent Structured FinancialRetail Products: The Case of Bonus Certificates

38 cited

2011Accelerating the Calibration of Stochastic Volatility Models36 cited

2017Calibration and simulation of Heston model35 cited

2008On the Valuation of Variance Swaps with Stochastic Volatility34 cited

2018Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model31 cited

2016On calibration of stochastic and fractional stochastic volatility models31 cited