EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL (Q5198956)
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scientific article; zbMATH DE number 5937830
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL |
scientific article; zbMATH DE number 5937830 |
Statements
EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL (English)
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10 August 2011
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Brownian exponential functional
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modified SABR model
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implied volatility
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large time asymptotics
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CEV process
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stochastic volatility models
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