Probability Distribution in the SABR Model of Stochastic Volatility

DOI10.1007/978-3-319-11605-1_1zbMath1418.91517OpenAlexW2186244866MaRDI QIDQ4560326

Patrick S. Hagan, Andrew Lesniewski, Diana E. Woodward

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_1

zbMATH Keywords

heat kernel expansionimplied volatilityWKB expansionSABRasymptotic smile formula

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

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Cites Work

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