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Explicit Implied Volatilities for Multifactor Local-Stochastic Volatility Models
1 of 32 checkable references need attention · checked 2026-08-18
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
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References needing attention
does not resolve to a known work10.1017/s0001867800048850
The 31 checked references that resolve
resolves10.1080/1350486x.2013.868631
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
resolves10.1080/14697688.2011.565789
Options on realized variance by transform methods: a non-affine stochastic volatility model
resolves10.1142/S021902490900549X
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
resolves10.1080/1350486X.2011.591159
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
resolves10.1137/110830241
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
resolves10.1017/CBO9781139020534
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
resolves10.1111/j.1467-9965.2010.00472.x
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
resolves10.1093/rfs/6.2.327
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
resolves10.1111/j.0960-1627.2004.00200.x
THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
resolves10.2478/s11533-011-0115-y
Analytical approximation of the transition density in a local volatility model
resolves10.1142/S0219024909005336
ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
resolves10.1214/aop/1176992255
Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels
The 16 references without a DOI — listed, not checked
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no DOI — not checkedref25
no DOI — not checkedref26
no DOI — not checkedCalibration of local stochastic volatility models to market smiles: A Monte-Carlo approach
no DOI — not checkedref35
no DOI — not checkedA new formula for computing implied volatility
no DOI — not checkedThe vol smile problem
no DOI — not checkedref39
no DOI — not checkedref41
no DOI — not checkedref43
no DOI — not checkedPDE and martingale methods in option pricing
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