Results 81 to 90 of about 1,119,588 (120)
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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.
Peter Laurence, Gérard Ben Arous
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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.
Peter Laurence, Gérard Ben Arous
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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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Stochastic Volatility � a story of two decades of SABR and Wilmott Magazine
Wilmott Magazine, 2022In Managing Smile Risk , the SABR model with the iconic approximation formula for implied log-normal volatility given strike K and maturity t was introduced.
Jörg Kienitz
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Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case
Jurnal derivate, 2021We consider semi-analytical pricing of barrier options for the time-dependent SABR stochastic volatility model (with drift in the instantaneous volatility) with zero correlation between spot and stochastic volatility.
A. Itkin, D. Muravey
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A Sequential Monte Carlo Approach for the pricing of barrier option in a Stochastic Volatility Model
, 2020In this paper we propose a numerical scheme to estimate the price of a barrier option in a general framework. More precisely, we extend a classical Sequential Monte Carlo approach, developed under the hypothesis of deterministic volatility, to ...
S. Cuomo +3 more
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SABR: A Stochastic Volatility Model in Practice
2019The 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.
Bogatyreva, Natalia +3 more
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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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European Journal of Operational Research, 2020
We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset prices under general stochastic local volatility (SLV) models arising in finance, which includes ...
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
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We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset prices under general stochastic local volatility (SLV) models arising in finance, which includes ...
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
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The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model [PDF]
SSRN Electronic Journal, 2007 The 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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Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model
Methodology and Computing in Applied Probability, 2017We consider the stochastic volatility model dSt = σtStdWt,dσt = ωσtdZt, with (Wt,Zt) uncorrelated standard Brownian motions. This is a special case of the Hull-White and the β=1 (log-normal) SABR model, which are widely used in financial practice.
D. Pirjol, Lingjiong Zhu
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