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Exact Pricing And Large-Time Asymptotics For The Modified Sabr Model And The Brownian Exponential Functional

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  • MARTIN FORDE

    (Department of Mathematical Sciences, Dublin City University, Glasnevin, Dublin 9, Ireland)

Abstract

We derive a closed-form expression for the stock price density under the modified SABR model [see section 2.4 in Islah (2009)] with zero correlation, for β = 1 and β

Suggested Citation

  • Martin Forde, 2011. "Exact Pricing And Large-Time Asymptotics For The Modified Sabr Model And The Brownian Exponential Functional," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 559-578.
    • Handle: RePEc:wsi:ijtafx:v:14:y:2011:i:04:n:s0219024911006735
    DOI: 10.1142/S0219024911006735
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    References listed on IDEAS

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    1. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
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    Cited by:

    1. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    2. Stephen Taylor & Scott Glasgow & James Taylor & Jan Vecer, 2016. "Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 847-867, September.

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