Grishchenko, Olesya V. - 2014
We study the SABR stochastic volatility model with the volatility-of-volatility parameter ν . We provide a method to expand the price C<sub>SABR</sub>(S, K, ν, σ, τ ) of a European call in this model as a Taylor series in ν , C<sub>SABR</sub>(S, K, ν, σ, τ ) = C<sub>BS</sub>(S,K, σ, τ ) ν C<sub>1</sub> ν<sup>2</sup>C<sub>2</sub> . . . ν<sup>k</sup>C<sub>k</sub> O(ν<sup>k...
