Series expansion of the SABR joint density

DOI10.1111/J.1467-9965.2010.00460.XMaRDI QIDQ4906532zbMATH OpenOpenAlexFDO

Authors Qi Wu

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00460.x

zbMATH Keywords

forward smile riskjoint transition densitySABR stochastic volatility model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A new proof of Moser's parabolic Harnack inequality using the old ideas of Nash
• A Stochastic Volatility Alternative to SABR
• Computing the implied volatility in stochastic volatility models
• Correlations and bounds for stochastic volatility models
• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
• Moment explosions in stochastic volatility models
• Multiscale Stochastic Volatility Asymptotics
• Numerical Solution of Partial Differential Equations
• On the behavior of solutions for large \(|x|\) of parabolic equations with unbounded coefficients
• Parabolic equations with unbounded coefficients
• The \(L^ p\)-integrability of Green's functions and fundamental solutions for elliptic and parabolic equations
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

Cited in

(8)

• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks
• Forward and future implied volatility
• Option pricing in a CEV model with liquidity costs
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• Probability distribution in the SABR model of stochastic volatility
• A general valuation framework for SABR and stochastic local volatility models
• On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach

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