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20092023
most citedAsymptotic formulae for implied volatility in the Heston model

64 citations · 204 across the 26 of their papers we have counts for

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math.PR2013★ 4 cited

Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]

J. D. Deuschel, P. K. Friz, A. Jacquier +1

In the compagnion paper [Marginal density expansions for diffusions and stochastic volatility, part I] we discussed density expansions for multidimensional diffusions $(X^1,...,X^d…