A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204): Difference between revisions
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Revision as of 10:38, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL |
scientific article |
Statements
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (English)
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5 August 2020
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SABR PDE
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implied volatility
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asymptotic expansion
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