Service interruption on Monday 11 July from 12:30 to 13:00: all the sites of the CCSD (HAL, Epiciences, SciencesConf, AureHAL) will be inaccessible (network hardware connection).
Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE

Abstract : In this paper, we define stochastic volatility operators in Hilbert space which are analogs to the widely-used SABR model [14] in finite dimensional case. We show the existence of the mild solution and some related regularity properties. Our proof is based on Leray-Schauder fixed point theorem and some priori inequalities on the stochastic operator processes we construct.
Complete list of metadata

https://hal-paris1.archives-ouvertes.fr/hal-03018478
Contributor : Raphael DOUADY Connect in order to contact the contributor
Submitted on : Sunday, November 22, 2020 - 6:22:50 PM
Last modification on : Friday, April 29, 2022 - 10:12:43 AM
Long-term archiving on: : Tuesday, February 23, 2021 - 9:39:44 PM

File

Modeling_Stochastic_Volatility...
Files produced by the author(s)

Identifiers

  • HAL Id : hal-03018478, version 1

Collections

Citation

Raphaël Douady, Zeyu Cao. SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE. 2020. ⟨hal-03018478⟩

Share

Metrics

Record views

44

Files downloads

91