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.

Generalized uncorrelated SABR models with a high degree of symmetry / Tai Ho, Wang; Laurence, Peter Michael; P. M., Wang; L. I., Sheng. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 10:6(2010), pp. 663-679. [10.1080/14697680902934189]

Generalized uncorrelated SABR models with a high degree of symmetry

LAURENCE, Peter Michael;
2010

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.
2010
derivative pricing models; non-gaussian option pricing; partial differential equations; stochastic volatility
01 Pubblicazione su rivista::01a Articolo in rivista
Generalized uncorrelated SABR models with a high degree of symmetry / Tai Ho, Wang; Laurence, Peter Michael; P. M., Wang; L. I., Sheng. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 10:6(2010), pp. 663-679. [10.1080/14697680902934189]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/380645
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