The principle of not feeling the boundary for the SABR model

DOI10.1080/14697688.2018.1486037zbMath1420.91452OpenAlexW2889599259MaRDI QIDQ5234301

Nan Chen, Nian Yang

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1486037

zbMATH Keywords

SABR modelprinciple of not feeling the boundaryprobability of hitting zerotime-changed Bessel process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

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 ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

Cites Work

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• ADI finite difference schemes for option pricing in the Heston model with correlation
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