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FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES - MaRDI portal

FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (Q2986668)

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FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES
scientific article

    Statements

    title
    FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (English)
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    author
    Leif Döring
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    Blanka Horvath
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    Josef Teichmann
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    publication date
    16 May 2017
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    zbMATH Keywords
    SABR model
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    option pricing
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    time-change
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    asymptotics
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    semigroups
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    Feller property
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    Dirichlet forms
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    cites work
    Q5558293
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    Identifiers

    Mathematics Subject Classification ID
    91B70
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    60H30
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    91G20
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    91G30
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    zbMATH DE Number
    6717921
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    arXiv ID
    1701.02015
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