Xiao Han

University of Texas at Austin - Red McCombs School of Business

Ph.D. student

Austin, TX 78712

United States

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Scholarly Papers (1)

1.

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

Number of pages: 13 Posted: 03 Jan 2014 Last Revised: 06 Jan 2014
Board of Governors of the Federal Reserve System, University of Texas at Austin - Red McCombs School of Business and Department of Mathematics
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Citation 1

Abstract:

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SABR model, stochastic volatility, Duhamel-Dyson series, commutator method