2014•SSRN Electronic JournalOpen access

A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model

Olesya V. Grishchenko, Xiao Han, Victor Nistor

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Key concepts: SABR volatility model, Stochastic volatility, Implied volatility, Greeks, Volatility (finance), Volatility smile, Forward volatility, Volatility swap

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