1. Olesya Grishenko, Xiao Han, and Victor Nistor, A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020; Zbl 1441.91075)
2. Weng Cheng, Nick Costanzino, John Liechty, Anna Mazzucato, and Victor Nistor,
   Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing, SIAM J. Financ. Math. 2, 901–934 (2011; Zbl 1242.35131)

Papers containing results related to the above papers.

1. Radu Constantinescu, Nick Costanzino,  Anna Mazzucato, and Victor Nistor, Approximate solutions to second order parabolic equations. I: analytic estimates, J. Math. Phys., vol 51, 2010, no 10, pages 103502, 26.

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