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An artificial neural network representation of the SABR stochastic volatility model
The Journal of Computational Finance, 2018In this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et al. [2002] is considered, then a more accurate integration scheme of McGhee [2011] as well as a two factor ...
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The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
SSRN Electronic Journal, 2007The author considers SABR model which is a two factor stochastic volatility model and gives an asymptotic expansion formula of implied volatilities for this model. His approach is based on infinite dimensional analysis on the Malliavin calculus and large deviation.
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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
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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
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Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
2016In 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. M. Ferreiro +3 more
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Implied Volatilities for Mean Reverting SABR Models
Wilmott, 2020Patrick S. Hagan +2 more
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Asset Movement Forcasting with the Implied Volatility Surface Analysis Based on SABR Model
2022 IEEE 20th International Conference on Industrial Informatics (INDIN), 2022Shaowei Xu +4 more
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The Research of Volatility Smile of Chinese SSE 50ETF Index Options Based on the SABR Model
Journal of Industrial Economics and Business, 2023Moo-Sung Kim, Yanan Ma
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