A Stochastic Volatility Alternative to SABR

DOI10.1239/jap/1231340234zbMath1152.91683OpenAlexW2015447247MaRDI QIDQ5504162

No author found.

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

Related Items (5)

ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE ⋮ Valuing options in Heston's stochastic volatility model: another analytical approach ⋮ Stochastic volatility and stochastic leverage ⋮ SERIES EXPANSION OF THE SABR JOINT DENSITY ⋮ On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A survey and some generalizations of Bessel processes
• A note on option pricing for the constant elasticity of variance model
• Moment explosions in stochastic volatility models
• A Theory of the Term Structure of Interest Rates
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• Option Pricing Under Incompleteness and Stochastic Volatility
• Complications with stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A Simplex Method for Function Minimization

This page was built for publication: A Stochastic Volatility Alternative to SABR