EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

By Matthew J. Lorig, Stefano Pagliarani, Andrea Pascucci. 2013

73 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/55d84350e1636faea3a1cbcdeaffc9ea47bec9fd

Citations in the corpus

• Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “…discussed in Hagan and Woodward (1999), Hagan et al. (2002), Fouque et al. (2000), Lewis (2000), Berestycki et al. (2002), Medvedev and Scaillet (2007), Henry-Labordere (2008), Takahashi et al. (2009), Gatheral et al. (2012), Li (2013a), Li (2013b), Lorig et al. (2013), and Forde et al. (2013).”