A rough SABR formula (Q2170291): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	A rough SABR formula	scientific article

Statements

scholarly article

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A rough SABR formula (English)

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Masaaki Fukasawa

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Frontiers of Mathematical Finance

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publication date

30 August 2022

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full work available at URL

https://arxiv.org/abs/2105.05359

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zbMATH Keywords

volatility surface

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implied volatility

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SABR model

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rough volatility

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calibration

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MaRDI profile type

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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Pricing under rough volatility

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Hybrid scheme for Brownian semistationary processes

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Asymptotics and calibration of local volatility models

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Computing the implied volatility in stochastic volatility models

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Short-Term At-the-Money Asymptotics under Stochastic Volatility Models

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Asymptotics for Rough Stochastic Volatility Models

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Short-time at-the-money skew and rough fractional volatility

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Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes

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Identifiers

zbMATH Open document ID

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10.3934/fmf.2021003

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2170291

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