Generalized uncorrelated SABR models with a high degree of symmetry

Tai-Ho Wang, Peter Laurence and Sheng-Li Wang

Quantitative Finance, 2010, vol. 10, issue 6, 663-679

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.

Keywords: Non-Gaussian option pricing; Derivative pricing models; Stochastic volatility; Partial differential equations (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1080/14697680902934189

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