Asymptotic Approximations to Deterministic and Stochastic Volatility Models

DOI10.1137/100791890zbMath1236.91148OpenAlexW2013221838MaRDI QIDQ5388690

Charles Tier, Richard Jordan

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100791890

zbMATH Keywords

stochastic volatilityperturbation methodsCEV modelasymptotic approximationsSABR modeldeterministic volatility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)

Related Items (3)

Implied Volatility from Local Volatility: A Path Integral Approach ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS

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