Probability density of lognormal fractional SABR model
Year of publication: |
2022
|
---|---|
Authors: | Akahori, Jiro ; Song, Xiaoming ; Wang, Tai-Ho |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 10.2022, 8, Art.-No. 156, p. 1-27
|
Subject: | asymptotic expansion | lognormal fractional SABR model | mixed fractional Brownian motion | Malliavin calculus | bridge representation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory |
-
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko, (2016)
-
Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki, (2014)
-
Takahashi, Akihiko, (2015)
- More ...
-
A singular stochastic differential equation driven by fractional Brownian motion
Hu, Yaozhong, (2008)
-
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Akahori, Jiro, (2010)
-
On a Symmetrization of Diffusion Processes
Akahori, Jiro, (2012)
- More ...