Results 21 to 30 of about 143 (96)
Target volatility option pricing in the lognormal fractional SABR model [PDF]
Quantitative Finance, 2019 We examine in this article the pricing of target volatility options in the lognormal fractional SABR model.
Elisa Alòs +3 more
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Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
, 2016 In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been proposed. The efficient calibration to market data of these more complex models becomes a relevant target in practice.
A. Ferreiro +3 more
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On an Extension Multifractional SABR Model for Pricing Variance and Volatility Swaps
Asian Journal of Probability and StatisticsThis paper presents a robust methodology for the valuation of options on variance swaps and volatility swaps. While existing literature has often focused on the pricing of the swaps themselves under stochastic volatility models, the valuation of options on these second-order derivative products remains a challenge, particularly within a framework that ...
Abel ZONGO, S. Pierre Clovis NITIEMA
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The SABR Model : Calibrated for Swaption's Volatility Smile
, 2014 Problem: The standard Black-Scholes framework cannot incorporate the volatility smiles usually observed in the markets. Instead, one must consider alternative stochastic volatility models such as the SABR. Little research about the suitability of the SABR model for Swedish market (swaption) data has been found.
Nguyen H. Tran, Anton Weigardh
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SABR Volatility Model in the LIBOR Market Model Framework
SSRN Electronic Journal, 2012 Christian Crispoldi
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Probability Density of Lognormal Fractional SABR Model
Risks, 2022 Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion.
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
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LIBOR market model with SABR style stochastic volatility
, 2019 Patrick S. Hagan, Andrew Lesniewski
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Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review
Mathematics, 2023 This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and ...
Reilly Pickard, Yuri Lawryshyn
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Extension of SABR Libor Market Model to handle negative interest rates
Quantitative Finance and Economics, 2020 Variations of Libor Market Model (LMM), including Constant Elasticity of Variance-LMM (CEV-LMM) and Stochastic Alpha-Beta-Rho LMM (SABR-LMM), have become popular for modeling interest rate term structure.
Jie Xiong, Geng Deng, Xindong Wang
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Mass at zero and small-strike implied volatility expansion in the SABR model
SSRN Electronic Journal, 2015 Archil Gulisashvili +2 more
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