EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL (Q5198956)
From MaRDI portal
scientific article; zbMATH DE number 5937830
Language | Label | Description | Also known as |
---|---|---|---|
English | EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL |
scientific article; zbMATH DE number 5937830 |
Statements
EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL (English)
0 references
10 August 2011
0 references
Brownian exponential functional
0 references
modified SABR model
0 references
implied volatility
0 references
large time asymptotics
0 references
CEV process
0 references
stochastic volatility models
0 references
0 references