Results 11 to 20 of about 143 (96)
A General Valuation Framework for SABR and Stochastic Local Volatility Models
SIAM Journal on Financial Mathematics, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhenyu Cui, Justin Kirkby, Duy Nguyen
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A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ [PDF]
Quantitative Finance, 2021 Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched lognormal distribution.
Jaehyuk Choi, Lixin Wu
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The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
SSRN Electronic Journal, 2007 The author considers SABR model which is a two factor stochastic volatility model and gives an asymptotic expansion formula of implied volatilities for this model. His approach is based on infinite dimensional analysis on the Malliavin calculus and large deviation.
Yasufumi Osajima
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An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
The Journal of Computational Finance, 2018 In this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et al. [2002] is considered, then a more accurate integration scheme of McGhee [2011] as well as a two factor ...
William A McGhee
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Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs
Mathematics and Computers in Simulation, 2013 For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This calibration has been performed for EURO STOXX 50 index and EUR/USD exchange rate with an asymptotic formula for ...
José Luís Fernández +5 more
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The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model [PDF]
SSRN Electronic Journal, 2019 This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black-Scholes (BS) volatility, we instead derive the equivalent constant-elasticity-of-variance (CEV) volatility.
Jaehyuk Choi, Lixin Wu
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Asymptotic Implied Volatility at the Second Order with Application to the SABR Model [PDF]
SSRN Electronic Journal, 2009 We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kernel expansion.
Louis Paulot
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SABR: A Stochastic Volatility Model in Practice
, 2019 The 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.
Natalia Bogatyreva +3 more
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Analytical Solutions of the SABR Stochastic Volatility Model
, 2012 This thesis studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's interconnected financial world.
Qi Wu
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European Journal of Operational Research, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhenyu Cui, Justin Kirkby, Duy Nguyen
+4 more sources