Analytical approximations of local-Heston volatility model and error analysis
Author:
Affiliation:
1. CMAP; Ecole Polytechnique and CNRS; France
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12154/fullpdf
Reference38 articles.
1. Malliavin differentiability of the Heston volatility and applications to option pricing;Alòs;Advances in Applied Probability,2008
2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;Alòs;Finance and Stochastics,2007
3. Moment explosions in stochastic volatility models;Andersen;Finance and Stochastics,2007
4. Smart expansion and fast calibration for jump diffusion;Benhamou;Finance and Stochastics,2009
5. Expansion formulas for European options in a local volatility model;Benhamou;International Journal of Theoretical and Applied Finance,2010a
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