Series expansion of the SABR joint density

DOI10.1111/J.1467-9965.2010.00460.XzbMATH Open1278.91114OpenAlexW2171760176MaRDI QIDQ4906532FDOQ4906532

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

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zbMATH Keywords

forward smile riskjoint transition densitySABR stochastic volatility model

Mathematics Subject Classification ID

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

Cites Work

• Multiscale Stochastic Volatility Asymptotics
• A new proof of Moser's parabolic Harnack inequality using the old ideas of Nash
• Numerical Solution of Partial Differential Equations
• Title not available (Why is that?)
• Moment explosions in stochastic volatility models
• Correlations and bounds for stochastic volatility models
• Computing the implied volatility in stochastic volatility models
• The \(L^ p\)-integrability of Green's functions and fundamental solutions for elliptic and parabolic equations
• Parabolic equations with unbounded coefficients
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A Stochastic Volatility Alternative to SABR
• On the behavior of solutions for large \(|x|\) of parabolic equations with unbounded coefficients

Cited In (8)

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

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