THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS
From MaRDI portal
Publication:5411743
DOI10.1142/S0219024913500477zbMath1290.91160OpenAlexW2125671257MaRDI QIDQ5411743
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500477
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Explicit density approximations for local volatility models using heat kernel expansions ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ The large-maturity smile for the Stein-Stein model
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The large-maturity smile for the Heston model
- 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
- Lookback options and diffusion hitting times: a spectral expansion approach
- Contingent Claims and Market Completeness in a Stochastic Volatility Model
- Asymptotic formulae for implied volatility in the Heston model
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
- Probability with Martingales
- Asymptotic evaluation of certain Markov process expectations for large time—III
- Stochastic Volatility for Lévy Processes
- What is the Laplace Transform?
