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20102026
most citedA Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

48 citations · 88 across the 27 of their papers we have counts for

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q-fin.CP2011

Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach

Matthew Lorig

Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset.…