A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0219024920500181zbMath1441.91075arXiv1812.09904OpenAlexW3123821732MaRDI QIDQ3304204

Olesya Grishenko, Victor Nistor, Xiao Han

Publication date: 5 August 2020

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

Full work available at URL: https://arxiv.org/abs/1812.09904

zbMATH Keywords

asymptotic expansionimplied volatilitySABR PDE

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

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Approximate solutions to second-order parabolic equations: evolution systems and discretization ⋮ Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

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