Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model (Q2816963)
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scientific article; zbMATH DE number 6619845
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| English | Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model |
scientific article; zbMATH DE number 6619845 |
Statements
26 August 2016
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stochastic volatility
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inverse gamma
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volatility expansion
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option pricing
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\(\log\)-normal
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mean-reverting SABR
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dynamic SABR
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Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model (English)
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0.7427514791488647
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0.7142820954322815
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0.7074633240699768
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0.7059365510940552
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0.700508713722229
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