Approximate arbitrage-free option pricing under the SABR model
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Publication:1655765
DOI10.1016/j.jedc.2017.08.004zbMath1401.91538OpenAlexW3122892361MaRDI QIDQ1655765
Nian Yang, Xiangwei Wan, Yanchu Liu, Nan Chen
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2017.08.004
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
The survival probability of the SABR model: asymptotics and application ⋮ LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ The principle of not feeling the boundary for the SABR model ⋮ Pricing and exercising American options: an asymptotic expansion approach
Uses Software
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