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Approximate arbitrage-free option pricing under the SABR model

Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei - In: Journal of economic dynamics & control 83 (2017), pp. 198-214

Persistent link: https://www.econbiz.de/10011915586

Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps

Wan, Xiangwei; Yang, Nian - In: Journal of economic dynamics & control 125 (2021), pp. 1-37

Persistent link: https://www.econbiz.de/10012666952

The survival probability of the SABR model : asymptotics and application

Yang, Nian; Wan, Xiangwei - In: Quantitative finance 18 (2018) 10, pp. 1767-1779

Persistent link: https://www.econbiz.de/10012261910

The principle of not feeling the boundary for the SABR model

Chen, Nan; Yang, Nian - In: Quantitative finance 19 (2019) 3, pp. 427-436

Persistent link: https://www.econbiz.de/10012194662

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Yang, Nian - 2017

The stochastic-alpha-beta-rho (SABR) model introduced by Hagan et al. (2002) provides a popular vehicle to model the implied volatilities in the interest rate and foreign exchange markets. To exclude arbitrage opportunities, we need to specify an absorbing boundary at zero for this model, which...

Persistent link: https://www.econbiz.de/10012967755

Two problems in financial engineering

Chen, Nan - 2006

Persistent link: https://www.econbiz.de/10003965291

Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk

Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378

Persistent link: https://www.econbiz.de/10003882482

Exact simulation of the SABR model

Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951

Persistent link: https://www.econbiz.de/10011739058

Pricing Continuously Monitored Barrier Options Under the Sabr Model : A Closed-Form Approximation

Yang, Nian - 2019

The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the FX markets. In this paper, we develop...

Persistent link: https://www.econbiz.de/10012900406