Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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Cited by:
- Archil Gulisashvili & Josep Vives, 2010. "Two-sided estimates for stock price distribution densities in jump-diffusion models," Papers 1005.1917, arXiv.org.
- Martin Forde & Andrey Pogudin, 2013. "The Large-Maturity Smile For The Sabr And Cev-Heston Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-20.
- P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm, 2010. "On refined volatility smile expansion in the Heston model," Papers 1001.3003, arXiv.org, revised Nov 2010.
- Mario Dell’Era, 2014. "Closed Form Solution for Heston PDE By Geometrical Transformations," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 793-807, June.
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