A Stochastic Volatility Alternative to SABR
DOI10.1239/JAP/1231340234zbMATH Open1152.91683OpenAlexW2015447247MaRDI QIDQ5504162FDOQ5504162
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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
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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)
Cites Work
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Cited In (15)
- Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Stochastic volatility and stochastic leverage
- Series expansion of the SABR joint density
- The Jacobi stochastic volatility model
- The stochastic intrinsic currency volatility model: a consistent framework for multiple FX rates and their volatilities
- A general valuation framework for SABR and stochastic local volatility models
- 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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