Hyperbolic normal stochastic volatility model
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DOI: 10.1002/fut.21967
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- Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
References listed on IDEAS
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Citations
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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.
- Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
- 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).
- Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
- Jaehyuk Choi, 2024. "Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions," Papers 2402.09243, arXiv.org.
- Jaehyuk Choi & Lilian Hu & Yue Kuen Kwok, 2024. "Efficient simulation of the SABR model," Papers 2408.01898, arXiv.org.
- 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.
- 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 & Yue Kuen Kwok, 2023. "Simulation schemes for the Heston model with Poisson conditioning," Papers 2301.02800, arXiv.org, revised Nov 2023.
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