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Advanced Analytics for the SABR Model · Study

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PreprintAdvanced Analytics for the SABR Model

Alexandre Antonov2012

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Preprintgreen2012

Advanced Analytics for the SABR Model

Alexandre Antonov

27 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2009Mathematical Methods for Financial Markets 2004Computing the implied volatility in stochastic volatility models 2008Analysis, Geometry, and Modeling in Finance 2009The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives 2015Asymptotic Implied Volatility at the Second Order with Application to the SABR Model 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options 2009Solving SABR in Exact Form and Unifying it with LIBOR Market Model 1992On some exponential functionals of Brownian motion

Cited by

2022A Black–Scholes user's guide to the Bachelier model 2015EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

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2015The Free Boundary SABR: Natural Extension to Negative Ratespreprint · 5 shared references 2011Analytical Approximation of the Transition Density in a Local Volatility Modelpreprint · 3 shared references 2011Implied Volatility Surface: Construction Methodologies and Characteristicspreprint · 3 shared references 2017Exact Simulation of the SABR Modelarticle · 3 shared references 2011Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Modelarticle · 3 shared references 2018Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Modelsarticle · 3 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2026350

openalex_workW2736203954

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