A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
Olesya Grishchenko, Xiao Han, Victor Nistor
| Year of publication: |
2020
|
|---|---|
| Authors: | Grishchenko, Olesya ; Han, Xiao ; Nistor, Victor |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 3, p. 1-49
|
| Subject: | SABR PDE | implied volatility | asymptotic expansion | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500181 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012271002