Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model

DOI10.1007/978-3-319-11605-1_4zbMath1418.91498OpenAlexW986394913MaRDI QIDQ4560329

Peter Laurence, Gérard Ben Arous

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_4

zbMATH Keywords

asymptotic expansionimplied volatilityheat kernelslocal volatility

Mathematics Subject Classification ID

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

Related Items (3)

Pricing discrete barrier options under stochastic volatility ⋮ A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus ⋮ Analytical approximation of the transition density in a local volatility model

Uses Software

• Mathematica

Cites Work

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