Markovian Projection to a Displaced Volatility Heston Model

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

Business, Economics, Finance +13

Mimicking the one-dimensional marginal distributions of processes having an ito differential

István Gyöngy · Probability Theory and Related Fields · 1986 · 311 citations · Full text

Engineering, Mathematics, Stochastic Modeling +11

Markovian Projection Method for Volatility Calibration

Vladimir Piterbarg · SSRN Electronic Journal · 2006 · 78 citations · Full text

Business, Economics, Mathematics +15

Markovian Projection onto a Displaced Diffusion: Generic Formulas with Applications

Alexandre Antonov, Timur Misirpashaev · SSRN Electronic Journal · 2006 · 15 citations · Full text

Engineering, Economics, Asset Pricing +12