Lorig Pagliarani Pascucci expansion of order-2 for the Heston model.
During calibration, it can be initialized once per expiry, and
called many times with different strikes. The formula is also
available in the Mathematica notebook from the authors at
http://explicitsolutions.wordpress.com/
Lorig Pagliarani Pascucci expansion of order-2 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with different strikes. The formula is also available in the Mathematica notebook from the authors at http://explicitsolutions.wordpress.com/