Approximate arbitrage-free option pricing under the SABR model
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Cited in
(28)- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- The principle of not feeling the boundary for the SABR model
- Arbitrage-free market models for option prices: the multi-strike case
- An arbitrage-free approach to quasi-option value
- SABR equipped with AI wings
- Asymptotic approximations to deterministic and stochastic volatility models
- A general valuation framework for SABR and stochastic local volatility models
- Functional analytic (ir-)regularity properties of SABR-type processes
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
- Dirichlet forms and finite element methods for the SABR model
- Arbitrage-free interpolation of call option prices
- Option pricing: the reduced-form SDE model
- On asymptotically arbitrage-free approximations of the implied volatility
- Effective stochastic volatility: applications to ZABR-type models
- On the approximation of the SABR model: a probabilistic approach
- PDE methods for SABR
- Saddlepoint approximations to option price in a general equilibrium model
- Arbitrage-free option prices on global markets
- Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics
- Approximate-analytical solution to the information measure's based quanto option pricing model
- Modern SABR analytics. Formulas and insights for quants, former physicists and mathematicians
- The survival probability of the SABR model: asymptotics and application
- Negative rates: new market practice
- Pricing and exercising American options: an asymptotic expansion approach
- Linking caplets and swaptions prices in the LMM-SABR model
- Calibration of the SABR Model in Illiquid Markets
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
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