Results 81 to 90 of about 1,031 (118)
Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model
SSRN Electronic Journal, 2015 We study the probability mass at the origin in the SABR stochastic volatility model, and derive several tractable expressions for it, in particular when time becomes small or large. In the uncorrelated case, tedious saddlepoint expansions allow for (semi) closed-form asymptotic formulae.
Archil Gulisashvili +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), 2022 Shaowei Xu +4 more
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Probability Distribution in the SABR Model of Stochastic Volatility [PDF]
, 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 +2 more
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An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
The Journal of Computational Finance, 2018 In 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 ...
William A McGhee
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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 ...
Junkee Jeon +6 more
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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 ...
Junkee Jeon +6 more
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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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A General Valuation Framework for SABR and Stochastic Local Volatility Models
SIAM Journal on Financial Mathematics, 2018In this paper, we propose a general framework for the valuation of options in stochastic local volatility (SLV) models with a general correlation structure, which includes the stochastic alpha beta...
J. Lars Kirkby, Duy Nguyen, Zhenyu Cui
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SABR : a stochastic volatility model in practice
, 2019 The Black and Scholes model (BS) assumes that the volatility of an asset is constant over the trading period. As a result, BS returns a flat volatility surface. This assumption fails to capture the asset’s volatility dynamics (smile), which is particularly important if we want to price complex derivatives.
Natalia Bogatyreva +3 more
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SABR Volatility Model in the LIBOR Market Model Framework
SSRN Electronic Journal, 2012 Christian Crispoldi
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Which uncertainty is powerful to forecast crude oil market volatility? New evidence
International Journal of Finance and Economics, 2022Xiafei Li, Yu Wei, Xiaodan Chen
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