Yasufumi Osajima

BNP Paribas

Paris

France

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The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model

Number of pages: 25 Posted: 26 Feb 2007

Yasufumi Osajima

BNP Paribas

Downloads 2,831 (8,610)

Citation 28

Abstract:

2.

General Asymptotics of Wiener Functionals and Application to Mathematical Finance

Number of pages: 29 Posted: 06 Oct 2007 Last Revised: 16 Oct 2007

Yasufumi Osajima

BNP Paribas

Downloads 738 (64,253)

Citation 9

Abstract:

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Yasufumi Osajima

BNP Paribas

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Scholarly Papers (2)

The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model

Abstract:

General Asymptotics of Wiener Functionals and Application to Mathematical Finance

Abstract: