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- W986394913 abstract "Using an expansion of the transition density function of a two dimensional time inhomogeneous diffusion, we obtain the first and second order terms in the short time asymptotics of the local volatility function in a family of time inhomogeneous local-stochastic volatility models. With the local volatility function at our disposal, we show how recent results (Gatheral et al., Math. Financ. 22:591–620, 2012, [28]) for one dimensional diffusions can be applied to also determine expansions for call prices as well as for the implied volatility. The results are worked out in detail in the case of the dynamic Sabr model, thus generalizing earlier work by Hagan et al. (Wilmott Mag. 84–108, 2003, [31]), Hagan and Lesniewski (Springer Proceedings in Mathematics and Statistics, vol. 110, 2015, [32]) and by Henry-Labordère (Springer Proceedings in Mathematics and Statistics, vol. 110, 2015, Geometry, and Modeling in Finance. Chapman & Hall/CRC Financial Mathematics Series, 2008, [39, 40])." @default.
- W986394913 created "2016-06-24" @default.
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- W986394913 date "2015-01-01" @default.
- W986394913 modified "2023-09-27" @default.
- W986394913 title "Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$lambda $$-Sabr Model" @default.
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- W986394913 doi "https://doi.org/10.1007/978-3-319-11605-1_4" @default.
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