Target volatility option pricing in the lognormal fractional SABR model
Year of publication: |
2019
|
---|---|
Authors: | Alòs, Elisa ; Chatterjee, Rupak ; Tudor, Sebastian F. ; Wang, Tai-Ho |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 8, p. 1339-1356
|
Subject: | Decomposition formula | Lognormal fractional SABR model | Small volatility of volatility approximation | Target volatility option | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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