A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ [PDF]
, 2021 Jae-hyuk Choi +3 more
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"Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models" [PDF]
This paper presents a new approximation formula for pricing swaptions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic volatility.
Akihiko Takahashi +2 more
core
Pricing Discrete Barrier Options under Stochastic Volatility [PDF]
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively ...
Akihiko Takahashi +2 more
core
LIBOR market model with SABR style stochastic volatility
, 2019 Patrick S. Hagan, Andrew Lesniewski
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Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model
, 2015 Archil Gulisashvili +2 more
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Option pricing in the moderate deviations regime. [PDF]
Math Financ, 2018 Friz P, Gerhold S, Pinter A.
europepmc +1 more source
Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model [PDF]
, 2016 Siyan Zhang +2 more
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Bayesian inference of biochemical kinetic parameters using the linear noise approximation. [PDF]
BMC Bioinformatics, 2009 Komorowski M +3 more
europepmc +1 more source
The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
, 2007 Yasufumi Osajima
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