EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL

DOI10.1142/S0219024911006735zbMath1220.91039OpenAlexW1983168627MaRDI QIDQ5198956

Martin Forde

Publication date: 10 August 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006735

zbMATH Keywords

large time asymptoticsimplied volatilityCEV processstochastic volatility modelsBrownian exponential functionalmodified SABR model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

Explicit density approximations for local volatility models using heat kernel expansions ⋮ The large-maturity smile for the Stein-Stein model ⋮ The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options

Uses Software

• Mathematica

Cites Work

• Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• A note of invariant measures for HJM models
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Analysis, Geometry, and Modeling in Finance
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