Results 81 to 90 of about 129,079 (132)

Machine Learning SABR Model of Stochastic Volatility With Lookup Table

SSRN Electronic Journal, 2020
We present an embarrassingly simple method for supervised learning of SABR model’s European option price function based on lookup table or rote machine learning.
Mahir Lokvancic
semanticscholar   +4 more sources

Analytical Solutions of the SABR Stochastic Volatility Model

, 2012
This thesis studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's interconnected financial world.
Qi Wu
semanticscholar   +5 more sources

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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.
W. Mcghee
semanticscholar   +4 more sources

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, Blanka Horvath, A. Jacquier   +2 more
semanticscholar   +5 more sources

A unified model of SABR and mean-reverting stochastic volatility for derivative pricing

Applied Mathematics and Computation
Sun-Yong Choi, Jeong-Hoon Kim
semanticscholar   +3 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.
G. B. Arous, P. Laurence
semanticscholar   +4 more sources

The Research of Volatility Smile of Chinese SSE 50ETF Index Options Based on the SABR Model

Journal of Industrial Economics and Business, 2023
Mookung Kim, Yanan Ma
semanticscholar   +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 ...
Hyeon-Wook Kim, Kyunghyun Park, Junkee Jeon, Changhoon Song, J. Bae, Yongsik Kim, Myung-joo Kang   +6 more
semanticscholar   +2 more sources

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.
P. Hagan, Andrew Lesniewski, D. E. Woodward   +2 more
semanticscholar   +2 more sources

Implied Volatilities for Mean Reverting SABR Models

Wilmott, 2020
Patrick S. Hagan, Andrew Lesniewski, Diana E. Woodeard   +2 more
openalex   +3 more sources