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




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