A Stochastic Volatility Alternative to SABR

DOI10.1239/JAP/1231340234MaRDI QIDQ5504162zbMATH OpenOpenAlexFDO

Authors

Publication date 21 January 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1231340234

zbMATH Keywords

volatility smileEuropean optionSABR

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Special processes (60K99) Stochastic models in economics (91B70)

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Cites work

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• A Simplex Method for Function Minimization
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A note on option pricing for the constant elasticity of variance model
• A survey and some generalizations of Bessel processes
• A theory of the term structure of interest rates
• Complications with stochastic volatility models
• Moment explosions in stochastic volatility models
• Option Pricing Under Incompleteness and Stochastic Volatility
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options on assets with stochastic volatilities

Cited in

(15)

• Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
• Stochastic volatility and stochastic leverage
• Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
• Series expansion of the SABR joint density
• The Jacobi stochastic volatility model
• A general valuation framework for SABR and stochastic local volatility models
• The stochastic intrinsic currency volatility model: a consistent framework for multiple FX rates and their volatilities
• Multivariate fractional Brownian motion and generalizations of SABR model
• Stochastic volatility for interest rate derivatives
• Effective stochastic volatility: applications to ZABR-type models
• CAM stochastic volatility model for option pricing
• A rough SABR formula
• Valuing options in Heston's stochastic volatility model: another analytical approach
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
• On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications

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