The Large-Maturity Smile For The Sabr And Cev-Heston Models
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DOI: 10.1142/S0219024913500477
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References listed on IDEAS
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Cited by:
- Leif Döring & Blanka Horvath & Josef Teichmann, 2017. "Functional Analytic (Ir-)Regularity Properties Of Sabr-Type Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-48, May.
- Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
- Nian Yao & Zhiqiu Li & Zhichao Ling & Junfeng Lin, 2020. "Asymptotic Smiles for an Affine Jump-Diffusion Model," Papers 2003.00334, arXiv.org, revised May 2020.
- 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.
- Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Papers 1707.00899, arXiv.org.
- Dan Pirjol & Lingjiong Zhu, 2020. "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface," Papers 2001.09850, arXiv.org, revised Mar 2020.
- Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
- Dan Pirjol & Lingjiong Zhu, 2018. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 289-331, March.
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Keywords
SABR model; Brownian exponential functional; CEV model; large deviations; Heston model;All these keywords.
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