Results 71 to 80 of about 129,079 (132)
Fine-tune your smile: Correction to Hagan et al
, 2008 In this small note we use results derived in Berestycki et al. to correct the celebrated formulae of Hagan et al. We derive explicitly the correct zero order term in the expansion of the implied volatility in time to maturity.
Obloj, Jan
core
Mean-Reverting SABR Models: Closed-form Implied Volatilities and Application to Stock Indices [PDF]
Volodymyr Perederiy
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 +3 more
europepmc +1 more source
A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
, 2018 Olesya V. Grishchenko +2 more
openalex +2 more sources
Semi-groups and the mean reverting SABR stochastic volatility model
, 2018 Anna L. Mazzucato +2 more
openalex +1 more source
A Weak Approximation with Malliavin Weights for Local Stochastic Volatility Model
, 2016 T. Yamada
semanticscholar +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
semanticscholar +4 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 In financial field, predicting the future price of an asset has always been a hot topic. There are mainly two existing methods: One is to model the trend of asset prices in price prediction.
Shao-Jun Xu +4 more
semanticscholar +3 more sources