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

DOI10.1142/S0219024917500133zbMath1396.91579arXiv1701.02015MaRDI QIDQ2986668

Leif Döring, Josef Teichmann, Blanka Horvath

Publication date: 16 May 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02015

zbMATH Keywords

asymptoticssemigroupsoption pricingDirichlet formsFeller propertytime-changeSABR model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ Time change equations for Lévy-type processes

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