Probability Distribution in the SABR Model of Stochastic Volatility
From MaRDI portal
Publication:4560326
DOI10.1007/978-3-319-11605-1_1zbMath1418.91517MaRDI QIDQ4560326
Patrick S. Hagan, Andrew Lesniewski, Diana E. Woodward
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_1
41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
35K08: Heat kernel
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