Results 11 to 20 of about 1,134,653 (140)
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. The result is valid for all values of the correlation parameter and is a sharper lower bound than the at-the-money implied volatility for correlation less than or equal to ...
Elisa Alòs +2 more
doaj +12 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
arxiv +11 more sources
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
arxiv +11 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, 2014 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 ...
Nistor, Victor +2 more
semanticscholar +13 more sources
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ [PDF]
Quantitative Finance, 2020 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
semanticscholar +12 more sources
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.
BS DeWitt +6 more
core +8 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 ...
Gulisashvili, A, Horvath, B, Jacquier, A
semanticscholar +13 more sources
Volatility Swap Under the SABR Model [PDF]
arXiv, 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
arxiv +6 more sources
Target volatility option pricing in lognormal fractional SABR model [PDF]
arXiv, 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.
Alos, Elisa +3 more
arxiv +6 more sources
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs [PDF]
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 ...
López-Salas, José Germán +5 more
arxiv +7 more sources