The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

DOI10.1016/j.jedc.2021.104143zbMath1475.91338arXiv1911.13123OpenAlexW3033857466MaRDI QIDQ2246618

Lixin Wu, Jaehyuk Choi

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.13123

zbMATH Keywords

stochastic volatilityimplied volatilityCEV modelSABR model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Financial markets (91G15)

Uses Software

• BENCHOP

Cites Work

• Unnamed Item
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Approximate arbitrage-free option pricing under the SABR model
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
• Computing the implied volatility in stochastic volatility models
• An approximation for the noncentral chi-squared distribution
• Equivalent Black volatilities
• Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
• A General Valuation Framework for SABR and Stochastic Local Volatility Models
• Shapes of Implied Volatility with Positive Mass at Zero
• Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
• The survival probability of the SABR model: asymptotics and application
• Modern SABR Analytics
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
• The principle of not feeling the boundary for the SABR model
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
• Approximations to the non-central chi-square distribution
• Exact Simulation of the SABR Model
• Asymptotic Approximations to Deterministic and Stochastic Volatility Models
• On the computation of option prices and Greeks under the CEV model

This page was built for publication: The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model