SERIES EXPANSION OF THE SABR JOINT DENSITY

DOI10.1111/j.1467-9965.2010.00460.xzbMath1278.91114OpenAlexW2171760176MaRDI QIDQ4906532

Qi Wu

Publication date: 28 February 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00460.x

zbMATH Keywords

forward smile riskjoint transition densitySABR stochastic volatility model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Option pricing in a CEV model with liquidity costs ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach ⋮ On a one time-step Monte Carlo simulation approach of the SABR model: application to European options ⋮ Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks

Cites Work

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• Correlations and bounds for stochastic volatility models
• The \(L^ p\)-integrability of Green's functions and fundamental solutions for elliptic and parabolic equations
• A new proof of Moser's parabolic Harnack inequality using the old ideas of Nash
• Moment explosions in stochastic volatility models
• Parabolic equations with unbounded coefficients
• On the behavior of solutions for large \(|x|\) of parabolic equations with unbounded coefficients
• Computing the implied volatility in stochastic volatility models
• Multiscale Stochastic Volatility Asymptotics
• Numerical Solution of Partial Differential Equations
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A Stochastic Volatility Alternative to SABR

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