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Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility. - Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model. - Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility.
When you click on links to various merchants on this site and make a purchase, this can result in this site earning a commission. Affiliate programs and affiliations include, but are not limited to, the eBay Partner Network.