PDE Methods for SABR

DOI10.1007/978-3-319-61282-9_15zbMath1420.91512OpenAlexW2754748819WikidataQ59155016 ScholiaQ59155016MaRDI QIDQ4626507

J. Kienitz, Roelof Sheppard, Thomas Andrew McWalter

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_15

zbMATH Keywords

European call optionsfree boundary SABR modelPDE solution

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

PDE Methods for SABR ⋮ LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS ⋮ Effective stochastic volatility: applications to ZABR-type models

Uses Software

• Matlab

Cites Work

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• $L_0 $-Stable Splitting Methods for the Simple Heat Equation in Two Space Dimensions with Homogeneous Boundary Conditions
• PDE Methods for SABR
• Modern SABR Analytics

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