Generalized uncorrelated SABR models with a high degree of symmetry

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.

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Year of publication:	2010
Authors:	Wang, Tai-Ho ; Laurence, Peter ; Wang, Sheng-Li
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 6, p. 663-679
Publisher:	Taylor & Francis Journals
Subject:	Non-Gaussian option pricing \| Derivative pricing models \| Stochastic volatility \| Partial differential equations

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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