The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model-Reference-Cited by-同舟云学术

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The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

Published:2021-07 Issue: Volume:128 Page:104143
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Choi Jaehyuk^ORCID,Wu Lixin

Funder

University Grants Committee Research Grants Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference37 articles.

1. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables,1972

2. SABR spreads its wings;Antonov;Risk,2013

3. The free boundary SABR: natural extension to negative rates;Antonov;Risk,2015

4. Modern SABR analytics;Antonov,2019

5. Théorie de la spéculation;Bachelier;Annales Scientifiques de l’École Normale Supérieure,1900

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach;Discrete and Continuous Dynamical Systems - S;2024

2. Forecasting Parameters in the SABR Model;Journal of Economic Analysis;2022-09-13

3. A Black–Scholes user's guide to the Bachelier model;Journal of Futures Markets;2022-02-16

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