most citedPerturbation Expansion for Option Pricing with Stochastic Volatility

15 citations · 15 across the 1 of their papers we have counts for

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1 paper

q-fin.PR2007★ 15 cited

Perturbation Expansion for Option Pricing with Stochastic Volatility

Petr Jizba, Hagen Kleinert, Patrick Haener

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions.…