On the Approximation of the SABR Model: A Probabilistic Approach

DOI10.1080/1350486X.2011.646523zbMath1373.62520OpenAlexW3124957300MaRDI QIDQ5363235

Subhankar Mitra, Duy Khanh Pham, Joanne Kennedy

Publication date: 5 October 2017

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

Full work available at URL: https://doi.org/10.1080/1350486x.2011.646523

zbMATH Keywords

stochastic volatilitydisplaced diffusionSABR model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Approximations to statistical distributions (nonasymptotic) (62E17) Actuarial science and mathematical finance (91G99)

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A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach ⋮ Stochastic volatility for interest rate derivatives

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