Results 1 to 10 of about 124 (77)
A Lower Bound for the Volatility Swap in the Lognormal SABR Model [PDF]
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
doaj +7 more sources
ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE [PDF]
Probability in the Engineering and Informational Sciences, 2020 AbstractWe propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretization is a variant of the Euler–Maruyama scheme. We study its asymptotic properties in the limit of a large number of time steps under a certain asymptotic regime which ...
Dan Pirjol, Lingjiong Zhu
+7 more sources
Target volatility option pricing in lognormal fractional SABR model [PDF]
, 2018 We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the accessibilities of all variance swaps and swaptions.
Elisa Alòs +3 more
openalex +3 more sources
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2020 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Olesya V. Grishchenko +2 more
+8 more sources
Calibrating and completing the volatility cube in the SABR Model [PDF]
, 2022 This report describes the calibration and completion of the volatility cube in the SABR model. The description is based on a project done for Assenagon GmbH in Munich. However, we use fictitious market data which resembles realistic market data. The problem posed by our client is formulated in section 1.
Georgi Dimitroff, Johan de Kock
openalex +4 more sources
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2012 The Stochastic Alpha Beta Rho Stochastic Volatility (SABR-SV) model is widely used in the financial industry for the pricing of fixed income instruments. In this paper we develop a low-bias simulation scheme for the SABR-SV model, which deals efficiently with (undesired) possible negative values in the asset price process, the martingale property of ...
Bin Chen +2 more
openalex +4 more sources
Machine Learning SABR Model of Stochastic Volatility With Lookup Table
SSRN Electronic Journal, 2020 We present an embarrassingly simple method for supervised learning of SABR model’s European option price function based on lookup table or rote machine learning. Performance in time domain is comparable to generally used analytic approximations utilized in financial industry.
Mahir Lokvancic
openalex +2 more sources
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics [PDF]
Quantitative Finance, 2018 15 pages, 2 tables, 8 figures This updated version concentrates on the small- and large-time asymptotic behaviour of the mass at zero in the uncorrelated SABR model. Some geometric considerations regarding the correlated case are provided in a companion paper arXiv:1610 ...
Archil Gulisashvili +2 more
openalex +7 more sources
Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model [PDF]
, 2016 We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on risky assets.
Siyan Zhang +2 more
+6 more sources
Volatility Swap Under the SABR Model [PDF]
, 2013 The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.
Simon Bossoney
openalex +4 more sources