A Rough SABR Formula

Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the rough Bergomi model. We solve this ODE numerically and further present a very accurate approximation to the numerical solution that we dub the rough SABR formula

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Year of publication:	[2021]
Authors:	Fukasawa, Masaaki ; Gatheral, Jim
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Frontiers of Mathematical Finance, 2021 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 11, 2021 erstellt
Other identifiers:	10.2139/ssrn.3844278 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C60 - Mathematical Methods and Programming. General ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013228354