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Convergence of Heston to SVI
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The log-moment formula for implied volatility
Raval, Vimal
;
Jacquier, Antoine
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1146-1165
Persistent link: https://www.econbiz.de/10014370644
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Variance dispersion and correlation swaps
Jacquier, Antoine
(
contributor
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Slaoui, Saad
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2007
Persistent link: https://www.econbiz.de/10003503852
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Rational approximation of the rough Heston solution
Gatheral, Jim
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
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