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A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model

Victor Nistor, Olesya V. Grishchenko, Xiao Han

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Available abstract

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Key concepts: SABR volatility model, Stochastic volatility, Asymptotic expansion, Mathematics, Implied volatility, Applied mathematics, Volatility (finance), Partial differential equation

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A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model — Research Paper | ScholarLens