Generalized uncorrelated SABR models with a high degree of symmetry

DOI10.1080/14697680902934189zbMath1192.91185OpenAlexW1966403515MaRDI QIDQ3577153

Tai-Ho Wang, Peter Laurence, Shengli Wang

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902934189

zbMATH Keywords

stochastic volatilitypartial differential equationsnon-Gaussian option pricingderivative pricing models

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Lie symmetry methods for local volatility models ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model

Cites Work

• The Pricing of Options and Corporate Liabilities
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• An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
• Lie symmetry analysis of differential equations in finance
• New solutions to the bond-pricing equation via Lie's classical method
• Fundamental solutions for zero-coupon bond pricing models
• Symmetries of the Fokker-Planck equation with a constant diffusion matrix in 2 + 1 dimensions
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Lie-point symmetries and stochastic differential equations
• Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Solvable local and stochastic volatility models: supersymmetric methods in option pricing
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS

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