On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach

DOI10.1080/1350486X.2014.888146zbMath1395.91453MaRDI QIDQ4586316

Duy Khanh Pham, Joanne Kennedy

Publication date: 12 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitydisplaced diffusionforward smileSABRSABR-MR model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On an efficient multiple time step Monte Carlo simulation of the SABR model

Cites Work

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• Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
• Stochastic Volatility Corrections for Interest Rate Derivatives
• SERIES EXPANSION OF THE SABR JOINT DENSITY
• Stochastic Volatility Model with Time‐dependent Skew
• On the Approximation of the SABR Model: A Probabilistic Approach
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

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