The survival probability of the SABR model: asymptotics and application

DOI10.1080/14697688.2017.1422083zbMath1406.91495OpenAlexW2789754283MaRDI QIDQ4619520

Xiangwei Wan, Nian Yang

Publication date: 6 February 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1422083

zbMATH Keywords

survival probabilityimplied volatilitySABR modelprobability of hitting zero

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (4)

Asymptotics for the survival probability of time-inhomogeneous diffusion processes ⋮ LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ The principle of not feeling the boundary for the SABR model

Cites Work

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