A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
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Publication:3304204
DOI10.1142/S0219024920500181zbMath1441.91075arXiv1812.09904OpenAlexW3123821732MaRDI QIDQ3304204
Olesya Grishenko, Victor Nistor, Xiao Han
Publication date: 5 August 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.09904
Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)
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