Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329)
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scientific article; zbMATH DE number 6991885
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model |
scientific article; zbMATH DE number 6991885 |
Statements
Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (English)
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11 December 2018
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implied volatility
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local volatility
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asymptotic expansion
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heat kernels
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