Results 61 to 70 of about 1,126,168 (149)

A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1

Applied Mathematics, 2019
We develop two new pricing formulae for European options. The purpose of these formulae is to better understand the impact of each term of the model, as well as improve the speed of the calculations.
Z. Guo, H. Schellhorn
semanticscholar   +1 more source

A General Asymptotic Implied Volatility for Stochastic Volatility Models [PDF]

arXiv, 2005
In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed with an Abelian connection. This formula is particularly useful for the calibration procedure. As an application, we obtain an asymptotic smile for a SABR model with a mean-
arxiv  

A Numerical Scheme Based on Semi-Static Hedging Strategy [PDF]

, 2012
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options.
Imamura, Yuri, Ishigaki, Yuta, Kawagoe, Takuya, Okumura, Toshiki   +3 more
core  

A Weak Approximation with Malliavin Weights for Local Stochastic Volatility Model

, 2016
This paper introduces a new efficient and practical weak approximation for option price under local stochastic volatility model as marginal expectation of stochastic differential equation, using iterative asymptotic expansion with Malliavin weights.
T. Yamada
semanticscholar   +1 more source

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives [PDF]

Ana M. Ferreiro, Jos\'e A. Garc\'ia-Rodr\'iguez, Jos\'e G. L\'opez-Salas, Carlos V\'azquez, SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives, Applied Mathematics and Computation, 242, 2014
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic volatilities have been proposed.
arxiv   +1 more source

PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique [PDF]

Jos\'e G. L\'opez-Salas, Carlos V\'azquez, PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique, Computers & Mathematics with Applications, 75, 5, 2018, 1616-1634
SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, the pricing of derivatives with SABR/LIBOR market models (SABR/LMMs) is mainly carried out with Monte Carlo simulation.
arxiv   +1 more source

Functional Analytic (Ir-)Regularity Properties of SABR-type Processes [PDF]

arXiv, 2017
The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asymptotic expansion for implied volatility, derived by heat kernel methods.
arxiv  

A Non-Gaussian Option Pricing Model with Skew

, 2004
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core   +3 more sources

"Pricing Barrier and Average Options under Stochastic Volatility Environment" [PDF]

This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach.
Akihiko Takahashi, Kenichiro Shiraya, Masashi Toda   +2 more
core   +3 more sources

Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]

arXiv, 2013
We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical ...
arxiv