Target volatility option pricing in the lognormal fractional SABR model

DOI10.1080/14697688.2019.1574021zbMath1420.91441arXiv1801.08215OpenAlexW2785123668WikidataQ128299685 ScholiaQ128299685MaRDI QIDQ5234360

Sebastian Florin Tudor, Tai-Ho Wang, Rupak Chatterjee, Elisa Alòs

Publication date: 26 September 2019

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

Full work available at URL: https://arxiv.org/abs/1801.08215

zbMATH Keywords

decomposition formulatarget volatility optionlognormal fractional SABR modelsmall volatility of volatility approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Quantum systems for Monte Carlo methods and applications to fractional stochastic processes ⋮ DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS

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