Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model
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Publication:4560329
DOI10.1007/978-3-319-11605-1_4zbMath1418.91498OpenAlexW986394913MaRDI QIDQ4560329
Peter Laurence, Gérard Ben Arous
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_4
Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)
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