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Asset Movement Forcasting with the Implied Volatility Surface Analysis Based on SABR Model
2022 IEEE 20th International Conference on Industrial Informatics (INDIN), 2022In financial field, predicting the future price of an asset has always been a hot topic. There are mainly two existing methods: One is to model the trend of asset prices in price prediction.
Shaowei Xu +4 more
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Expert Systems with Applications, 2021
Abstract In real markets, generating a smooth implied volatility surface requires an interpolation of the calibrated parameters by using smooth parametric functions. For this interpolation, practitioners do not use all the discrete parameter points but manually select candidate parameter points through time-consuming adjustments (e.g., removing ...
Junkee Jeon +6 more
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Abstract In real markets, generating a smooth implied volatility surface requires an interpolation of the calibrated parameters by using smooth parametric functions. For this interpolation, practitioners do not use all the discrete parameter points but manually select candidate parameter points through time-consuming adjustments (e.g., removing ...
Junkee Jeon +6 more
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Probability Distribution in the SABR Model of Stochastic Volatility [PDF]
, 2015 We study the SABR model of stochastic volatility (Wilmott Mag, 2003 [10]). This model is essentially an extension of the local volatility model (Risk 7(1):18–20 [4], Risk 7(2):32–39, 1994 [6]), in which a suitable volatility parameter is assumed to be stochastic.
Patrick S. Hagan +2 more
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Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model
SSRN Electronic Journal, 2015We study the probability mass at the origin in the SABR stochastic volatility model, and derive several tractable expressions for it, in particular when time becomes small or large. In the uncorrelated case, tedious saddlepoint expansions allow for (semi) closed-form asymptotic formulae.
Archil Gulisashvili +3 more
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2015
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.
Peter Laurence, Gérard Ben Arous
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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.
Peter Laurence, Gérard Ben Arous
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The Research of Volatility Smile of Chinese SSE 50ETF Index Options Based on the SABR Model
Journal of Industrial Economics and Business, 2023Moo-Sung Kim, Yanan Ma
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Stochastic Volatility � a story of two decades of SABR and Wilmott Magazine
Wilmott Magazine, 2022In Managing Smile Risk , the SABR model with the iconic approximation formula for implied log-normal volatility given strike K and maturity t was introduced.
Jörg Kienitz
semanticscholar +1 more source
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case
Jurnal derivate, 2021We consider semi-analytical pricing of barrier options for the time-dependent SABR stochastic volatility model (with drift in the instantaneous volatility) with zero correlation between spot and stochastic volatility.
A. Itkin, D. Muravey
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A Sequential Monte Carlo Approach for the pricing of barrier option in a Stochastic Volatility Model
, 2020In this paper we propose a numerical scheme to estimate the price of a barrier option in a general framework. More precisely, we extend a classical Sequential Monte Carlo approach, developed under the hypothesis of deterministic volatility, to ...
S. Cuomo +3 more
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SABR: A Stochastic Volatility Model in Practice
2019The Black and Scholes model (BS) assumes that the volatility of an asset is constant over the trading period. As a result, BS returns a flat volatility surface. This assumption fails to capture the asset’s volatility dynamics (smile), which is particularly important if we want to price complex derivatives.
Bogatyreva, Natalia +3 more
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