The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
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- Choi, Jaehyuk & Wu, Lixin, 2021. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
References listed on IDEAS
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Cited by:
- Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
- Jaehyuk Choi & Lixin Wu, 2021.
"A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(7), pages 1083-1086, July.
- Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2019-12-16 (Operations Research)
- NEP-RMG-2019-12-16 (Risk Management)
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