Probability Distribution in the SABR Model of Stochastic Volatility (Q4560326)
From MaRDI portal
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 |
Statements
Probability Distribution in the SABR Model of Stochastic Volatility (English)
0 references
11 December 2018
0 references
SABR
0 references
heat kernel expansion
0 references
WKB expansion
0 references
implied volatility
0 references
asymptotic smile formula
0 references