Related references
Note: Only part of the references are listed.Calibration risk: Illustrating the impact of calibration risk under the Heston model
Florence Guillaume et al.
REVIEW OF DERIVATIVES RESEARCH (2012)
Convergence of Heston to SVI
Jim Gatheral et al.
QUANTITATIVE FINANCE (2011)
Asymptotic formulae for implied volatility in the Heston model
Martin Forde et al.
PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES (2010)
The causes of the credit crunch: a backwards look?
David Murphy
QUANTITATIVE FINANCE (2009)
Understanding the VIX
Robert E. Whaley
JOURNAL OF PORTFOLIO MANAGEMENT (2009)
The moment formula for implied volatility at extreme strikes
RW Lee
MATHEMATICAL FINANCE (2004)
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
OE Barndorff-Nielsen et al.
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2001)
Share Paper
