In this website, we collect some material, papers and Mathematica CDF files 
(get here the free CDF Player) on analytical approximation methods in option pricing.
The notebooks available for download have been recently updated to include 
higher order approximations as well as non-zero interest rates. Specifically, we have 
pricing and implied volatility formulas for the following models:

– CEV local volatility
– Quadratic local volatility
– Heston stochastic volatility
– 3/2 stochastic volatility
– JDCEV (bond prices and credit spreads)
– general local-stochastic vol model

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Implied vol for any local-stochastic vol model 
[by M. Lorig, S. Pagliarani and A. Pascucci]
Mathematica CDF

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