Analytic Calibration in Andreasen-Huge SABR Model

Autor:	Feldman, K. E.
Rok vydání:	2020
Předmět:	Quantitative Finance - Computational Finance Mathematics - Probability Quantitative Finance - Mathematical Finance Quantitative Finance - Pricing of Securities Quantitative Finance - Risk Management
Druh dokumentu:	Working Paper
Popis:	We derive analytic formulae which link $\alpha$, $\nu$ and $\rho$ parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four strikes close to ATM. Based on these formulae we give a characterisation for the SABR parameters in terms of derivatives of the swap rate forward probability density function. We test the analytic result in the application to the interest rate futures option market.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2008.09108 Zobrazit plný text záznamu View this record from Arxiv