Probability Distribution in the SABR Model of Stochastic Volatility

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

zbMATH Keywords

heat kernel expansion; implied volatility; WKB expansion; SABR; asymptotic smile formula

Mathematics Subject Classification ID

41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

35K08: Heat kernel

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