Series expansion of the SABR joint density

DOI10.1111/J.1467-9965.2010.00460.XMaRDI QIDQ4906532zbMATHOpenAlexFDO

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

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

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Cites work

• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
• A Stochastic Volatility Alternative to SABR
• A new proof of Moser's parabolic Harnack inequality using the old ideas of Nash
• Computing the implied volatility in stochastic volatility models
• Correlations and bounds for stochastic volatility models
• 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 MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The \(L^ p\)-integrability of Green's functions and fundamental solutions for elliptic and parabolic equations

Cited in

(8)

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

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