A rough SABR formula

DOI10.3934/fmf.2021003zbMath1498.91468arXiv2105.05359OpenAlexW3172608759MaRDI QIDQ2170291

Jim Gatheral, Masaaki Fukasawa

Publication date: 30 August 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.05359

zbMATH Keywords

calibrationimplied volatilityvolatility surfaceSABR modelrough volatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ On the Skew and Curvature of the Implied and Local Volatilities ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ On asymptotically arbitrage-free approximations of the implied volatility ⋮ A partial rough path space for rough volatility

Cites Work

• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Asymptotics for Rough Stochastic Volatility Models
• Computing the implied volatility in stochastic volatility models
• Short-time at-the-money skew and rough fractional volatility
• Asymptotics and calibration of local volatility models
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
• Pricing under rough volatility
• Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
• Hybrid scheme for Brownian semistationary processes

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