Asymptotic implied volatility at the second order with application to the SABR model (Q4560327)
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scientific article; zbMATH DE number 6991883
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| English | Asymptotic implied volatility at the second order with application to the SABR model |
scientific article; zbMATH DE number 6991883 |
Statements
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (English)
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11 December 2018
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stochastic volatility
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asymptotic expansion
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implied volatility
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heat kernel
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SABR
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0.8592443466186523
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0.8484145402908325
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0.8352667689323425
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0.8325696587562561
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0.8195250034332275
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