Results 21 to 30 of about 1,031 (118)
The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model [PDF]
SSRN Electronic Journal, 2019 This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black-Scholes (BS) volatility, we instead derive the equivalent constant-elasticity-of-variance (CEV) volatility.
Jaehyuk Choi, Lixin Wu
+9 more sources
Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model
, 2016 We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on risky assets.
Siyan Zhang +2 more
openalex +4 more sources
Molecular Oncology, Volume 15, Issue 10, Page 2544-2564, October 2021., 2021 Image depicting all tumour‐derived components that can be detected in blood. Produced using BioRender. Lung cancer survival statistics are sobering with survival ranking among the poorest of all cancers despite the addition of targeted therapies and immunotherapies. However, improvements in tools for early detection hold promise. The Nederlands–Leuvens
Lukas Kalinke +2 more
wiley +1 more source
On the consistency of jump-diffusion dynamics for FX rates under inversion [PDF]
, 2019 In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type
Brigo, Damiano +2 more
core +2 more sources
Arbitrage-free prediction of the implied volatility smile [PDF]
, 2014 This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros +1 more
core +2 more sources
On the probability of hitting the boundary for Brownian motions on the SABR plane [PDF]
, 2016 Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models–related to the SABR model in mathematical finance–which can be obtained by geometry-preserving transformations, and show how to ...
Gulisashvili, AG +2 more
core +4 more sources
Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$ [PDF]
, 2016 We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of Bayer,Friz&Laurence [BFL14] for the multivariate ...
Forde, Martin, Zhang, Hongzhong
core +2 more sources
Fast Quantization of Stochastic Volatility Models
, 2017 Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is usually performed ...
Kienitz, Joerg +3 more
core +1 more source
Rough PDEs for Local Stochastic Volatility Models
Mathematical Finance, Volume 35, Issue 3, Page 661-681, July 2025.ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank +3 more
wiley +1 more source
A Non-Gaussian Option Pricing Model with Skew [PDF]
, 2004 Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core +3 more sources