Heston-model engine for European options based on analytic expansions
References:
M Forde, A Jacquier, R Lee, The small-time smile and term
structure of implied volatility under the Heston model
SIAM Journal on Financial Mathematics, 2012 - SIAM
M Lorig, S Pagliarani, A Pascucci, Explicit implied vols for
multifactor local-stochastic vol models
arXiv preprint arXiv:1306.5447v3, 2014 - arxiv.org
Heston-model engine for European options based on analytic expansions
References:
M Forde, A Jacquier, R Lee, The small-time smile and term structure of implied volatility under the Heston model SIAM Journal on Financial Mathematics, 2012 - SIAM
M Lorig, S Pagliarani, A Pascucci, Explicit implied vols for multifactor local-stochastic vol models arXiv preprint arXiv:1306.5447v3, 2014 - arxiv.org