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Generalized uncorrelated SABR models with a high degree of symmetry

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  • Tai-Ho Wang
  • Peter Laurence
  • Sheng-Li Wang

Abstract

A family of generalized driftless uncorrelated SABR-like models are classified according to the dimensions of the symmetry groups of their corresponding backward Kolmogorov equations. This family contains the original uncorrelated SABR models, for arbitrary positive beta, as special cases. New cases with a rich symmetry group appear.

Suggested Citation

  • Tai-Ho Wang & Peter Laurence & Sheng-Li Wang, 2010. "Generalized uncorrelated SABR models with a high degree of symmetry," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 663-679.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:6:p:663-679
    DOI: 10.1080/14697680902934189
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    References listed on IDEAS

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    1. Alexander Lipton, 2001. "Mathematical Methods for Foreign Exchange:A Financial Engineer's Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4694, February.
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    Cited by:

    1. 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.
    2. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Papers 1707.00899, arXiv.org.
    3. 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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