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Heat kernel methods in finance: the SABR model
Heat kernel methods finance the SABR model Pricing of Securities
2012/3/2
The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A ...
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Stochastic volatility Asymptotic expansion Heat kernel
2010/11/1
We provide a general method to compute a Taylor expansion in time of implied volatility for
stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is...