General asymptotics of Wiener functionals and application to implied volatilities (Q4560330)
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scientific article; zbMATH DE number 6991886
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| English | General asymptotics of Wiener functionals and application to implied volatilities |
scientific article; zbMATH DE number 6991886 |
Statements
General Asymptotics of Wiener Functionals and Application to Implied Volatilities (English)
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11 December 2018
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Wiener functional
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stochastic volatility
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Hamilton equation
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Malliavin calculus
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asymptotic approximation
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SABR model
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0.8341136574745178
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0.8152590990066528
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0.8064945340156555
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0.7973887324333191
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0.7970669269561768
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