Probability Distribution in the SABR Model of Stochastic Volatility (Q4560326): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 17:22, 5 March 2024
scientific article; zbMATH DE number 6991882
Language | Label | Description | Also known as |
---|---|---|---|
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)
0 references
11 December 2018
0 references
SABR
0 references
heat kernel expansion
0 references
WKB expansion
0 references
implied volatility
0 references
asymptotic smile formula
0 references