Generalized uncorrelated SABR models with a high degree of symmetry

DOI10.1080/14697680902934189zbMATH Open1192.91185OpenAlexW1966403515MaRDI QIDQ3577153FDOQ3577153

Authors: Tai-Ho Wang, Peter Laurence, S. L. Wang 

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902934189

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zbMATH Keywords

partial differential equationsstochastic volatilitynon-Gaussian option pricingderivative pricing models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Solvable local and stochastic volatility models: supersymmetric methods in option pricing
• Interest rate models -- theory and practice. With smile, inflation and credit
• Lie symmetry analysis of differential equations in finance
• An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
• Fundamental solutions for zero-coupon bond pricing models
• New solutions to the bond-pricing equation via Lie's classical method
• Lie-point symmetries and stochastic differential equations
• Transformations of Markov processes and classification scheme for solvable driftless diffusions
• Symmetries of the Fokker-Planck equation with a constant diffusion matrix in 2 + 1 dimensions
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS

Cited In (3)

• Lie symmetry methods for local volatility models
• Asymptotics for the Euler-discretized Hull-White stochastic volatility model
• Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface

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