A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204): Difference between revisions

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English	A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL	scientific article

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scholarly article

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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (English)

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Olesya Grishenko

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International Journal of Theoretical and Applied Finance

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publication date

5 August 2020

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full work available at URL

https://arxiv.org/abs/1812.09904

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zbMATH Keywords

SABR PDE

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implied volatility

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asymptotic expansion

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MaRDI profile type

MaRDI publication profile

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Closed-form likelihood expansions for multivariate diffusions

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Cauchy problems for parabolic equations in Sobolev-Slobodeckii and Hölder spaces on uniformly regular Riemannian manifolds

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Linear parabolic equations with strong boundary degeneration

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Sobolev spaces on Lie manifolds and regularity for polyhedral domains

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On the geometry of Riemannian manifolds with a Lie structure at infinity

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Parabolic equations with unbounded coefficients

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Improving the Rate of Convergence of High-Order Finite Elements on Polyhedra I:<i>A Priori</i>Estimates

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The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework

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Navier-Stokes Equations in Planar Domains

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Asymptotics and calibration of local volatility models

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Computing the implied volatility in stochastic volatility models

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The Pricing of Options and Corporate Liabilities

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Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

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Explicit form of approximate transition probability density functions of diffusion processes

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OBSERVATIONS ON GAUSSIAN UPPER BOUNDS FOR NEUMANN HEAT KERNELS

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ANALYTIC REGULARITY FOR LINEAR ELLIPTIC SYSTEMS IN POLYGONS AND POLYHEDRA

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Approximate solutions to second order parabolic equations. I: Analytic estimates

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Stochastic Volatility Corrections for Interest Rate Derivatives

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An efficient box-scheme for convection-diffusion equations with sharp contrast in the diffusion coefficients

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Elliptic boundary value problems on corner domains. Smoothness and asymptotics of solutions

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Parabolic differential equations with unbounded coefficients -- A generalization of the parametrix method

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CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS

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Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

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The Black-Scholes equation in stochastic volatility models

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Boundary conditions for the single-factor term structure equation

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Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations

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Two singular diffusion problems

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The parabolic differential equations and the associated semigroups of transformation

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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

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TIGHTER BOUNDS FOR IMPLIED VOLATILITY

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TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

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THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION

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Probability Distribution in the SABR Model of Stochastic Volatility

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Equivalent Black volatilities

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Solvable local and stochastic volatility models: supersymmetric methods in option pricing

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Analysis, Geometry, and Modeling in Finance

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Computational methods for quantitative finance. Finite element methods for derivative pricing

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A parametrix approach for some degenerate stable driven SDEs

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Explicit parametrix and local limit theorems for some degenerate diffusion processes

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On linear elliptic and parabolic equations with growing drift in Sobolev spaces without weights

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A Sobolev Space Theory of SPDEs with Constant Coefficients in a Half Space

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Elliptic and Parabolic Second-Order PDEs with Growing Coefficients

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A-priori analysis and the finite element method for a class of degenerate elliptic equations

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TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

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Analysis of the finite element method for transmission/mixed boundary value problems on general polygonal domains

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Large Investor Trading Impacts on Volatility

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Correlations and bounds for stochastic volatility models

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Analytical Expansions for Parabolic Equations

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EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

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Space-time adaptive finite difference method for European multi-asset options

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Stochastic calculus of variations in mathematical finance.

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MAPPING PROPERTIES OF HEAT KERNELS, MAXIMAL REGULARITY, AND SEMI-LINEAR PARABOLIC EQUATIONS ON NONCOMPACT MANIFOLDS

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Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems

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Adaptive finite difference methods for nonlinear elliptic and parabolic partial differential equations with free boundaries

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Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion

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Analytical approximation of the transition density in a local volatility model

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PDE and martingale methods in option pricing.

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Semigroups of linear operators and applications to partial differential equations

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Asymptotics for the Euler-discretized Hull-White stochastic volatility model

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SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL

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AN EXPLICIT IMPLIED VOLATILITY FORMULA

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Identifiers

zbMATH Open document ID

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10.1142/S0219024920500181

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3304204

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