EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL

Martin Forde ()
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Martin Forde: Department of Mathematical Sciences, Dublin City University, Glasnevin, Dublin 9, Ireland

International Journal of Theoretical and Applied Finance (IJTAF), 2011, vol. 14, issue 04, 559-578

Abstract: We derive a closed-form expression for the stock price density under the modified SABR model [see section 2.4 in Islah (2009)] with zero correlation, for β = 1 and β

Keywords: Brownian exponential functional; modified SABR model; implied volatility; large time asymptotics; CEV process; stochastic volatility models (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1142/S0219024911006735

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