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

Choi, Jaehyuk; Wu, Lixin - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628256

A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"

Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086

Persistent link: https://www.econbiz.de/10012588019

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions

Choi, Jaehyuk - In: Operations research letters : a journal of INFORMS … 60 (2025), pp. 1-6

Persistent link: https://www.econbiz.de/10015359240

Fast swaption pricing under the market model with a square-root volatility process

Wu, Lixin; Zhang, Fan - In: Quantitative Finance 8 (2008) 2, pp. 163-180

In this paper we study a correlation-based LIBOR market model with a square-root volatility process. This model captures downward volatility skews through taking negative correlations between forward rates and the multiplier. An approximate pricing formula is developed for swaptions, and the...

Persistent link: https://www.econbiz.de/10005279131