Results 61 to 70 of about 143 (96)

A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model

, 2014
Olesya V. Grishchenko, Xiao Han, Victor Nistor   +2 more
openalex   +1 more source

Option pricing in the moderate deviations regime. [PDF]

Math Financ, 2018
Friz P, Gerhold S, Pinter A.
europepmc   +1 more source

Bayesian inference of biochemical kinetic parameters using the linear noise approximation. [PDF]

BMC Bioinformatics, 2009
Komorowski M, Finkenstädt B, Harper CV, Rand DA.   +3 more
europepmc   +1 more source

Semi-groups and the mean reverting SABR stochastic volatility model

, 2018
Anna L. Mazzucato, Victor Nistor, Siyan Zhang   +2 more
openalex   +1 more source

Volatility and variance swaps and options in the fractional SABR model

The European Journal of Finance, 2020
Appropriate capturing the nature of financial market volatility is a significant factor for the pricing of volatility derivatives. A recent study by Gatheral, Jaisson and Rosenbaum [2018.
See-Woo Kim, Jeong‐Hoon Kim
openalex   +2 more sources

Candidate point selection using a self-attention mechanism for generating a smooth volatility surface under the SABR model

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 ...
Hyeonuk Kim, Kyunghyun Park, Junkee Jeon, Changhoon Song, Jungwoo Bae, Yongsik Kim, Myungjoo Kang   +6 more
openalex   +2 more sources

Probability Distribution in the SABR Model of Stochastic Volatility

, 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, Andrew Lesniewski, Diana E. Woodward   +2 more
openalex   +2 more sources

Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model

, 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.
Gérard Ben Arous, Peter Laurence
openalex   +2 more sources

Asset Movement Forcasting with the Implied Volatility Surface Analysis Based on SABR Model

2022 IEEE 20th International Conference on Industrial Informatics (INDIN), 2022
Shaowei Xu, Hongxin Huan, Yuan Qi, Guoxiang Guo, Jerome Yen   +4 more
openalex   +2 more sources