Probability Distribution in the SABR Model of Stochastic Volatility (Q4560326): Difference between revisions

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Latest revision as of 15:06, 17 July 2024

scientific article; zbMATH DE number 6991882
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English
Probability Distribution in the SABR Model of Stochastic Volatility
scientific article; zbMATH DE number 6991882

    Statements

    Probability Distribution in the SABR Model of Stochastic Volatility (English)
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    11 December 2018
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    SABR
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    heat kernel expansion
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    WKB expansion
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    implied volatility
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    asymptotic smile formula
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