A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204)

From MaRDI portal
Revision as of 13:14, 3 September 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)





scientific article
Language Label Description Also known as
English
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
scientific article

    Statements

    A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (English)
    0 references
    0 references
    0 references
    0 references
    5 August 2020
    0 references
    SABR PDE
    0 references
    implied volatility
    0 references
    asymptotic expansion
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references