Hermite Polynomial Based Expansion of European Option Prices

By D. Xiu. 2014

63 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/7fa5ec26f00990df4f141490e65412669d2e37b4

Citations in the corpus

• Implied Stochastic Volatility Models (2020, unknown): “…Fouque et al. (2000), Kunitomo and Takahashi (2001), Kunitomo and Takahashi (2003), Benhamou et al. (2010), Kristensen and Mele (2011), Li (2014), Xiu (2014) • Implied volatility approximations: Hagan and Woodward (1999), Lewis (2000), Berestycki et al. (2004), Medvedev and Scaillet (2007),…”