Probability Distribution in the SABR Model of Stochastic Volatility (Q4560326)
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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 |
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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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