EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL

DOI10.1142/S0219024911006735zbMath1220.91039MaRDI QIDQ5198956

Martin Forde

Publication date: 10 August 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006735

zbMATH Keywords

large time asymptotics; implied volatility; CEV process; stochastic volatility models; Brownian exponential functional; modified SABR model

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Explicit density approximations for local volatility models using heat kernel expansions, The large-maturity smile for the Stein-Stein model, The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options

Uses Software

• Mathematica

Cites Work

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• Analysis, Geometry, and Modeling in Finance