Modern SABR Analytics

DOI10.1007/978-3-030-10656-0zbMath1433.91003OpenAlexW4244982869MaRDI QIDQ4631571

Mikhail Konikov, Michael Spector, Alexandre Antonov

Publication date: 10 April 2019

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

Full work available at URL: https://rd.springer.com/content/pdf/10.1007%2F978-3-030-10656-0.pdf

zbMATH Keywords

asymptotic propertiesoption pricingCEV processexactly solvable modelsSABR modelnegative ratesCEV-CIR modelexact integral representationsheat-kernel expansions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (9)

Proof of non-convergence of the short-maturity expansion for the SABR model ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ Negative Rates: New Market Practice ⋮ PDE Methods for SABR ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ Small-\(t\) expansion for the Hartman-Watson distribution ⋮ A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’

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