55 citations · 103 across the 22 of their papers we have counts for
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q-fin.PR2010★ 2 cited
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Archil Gulisashvili
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this…
q-fin.GN2010★ 1 cited
Two-sided estimates for stock price distribution densities in jump-diffusion models
Archil Gulisashvili, Josep Vives
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exp…
q-fin.PR2010
On refined volatility smile expansion in the Heston model
P. Friz, S. Gerhold, A. Gulisashvili +1
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment can be obtained by solving (numerically) a simple equation. This…