Target volatility option pricing in the lognormal fractional SABR model
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Publication:5234360
DOI10.1080/14697688.2019.1574021zbMath1420.91441arXiv1801.08215OpenAlexW2785123668WikidataQ128299685 ScholiaQ128299685MaRDI QIDQ5234360
Sebastian Florin Tudor, Tai-Ho Wang, Rupak Chatterjee, Elisa Alòs
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.08215
decomposition formulatarget volatility optionlognormal fractional SABR modelsmall volatility of volatility approximation
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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