On asymptotically arbitrage-free approximations of the implied volatility

Autor:	Fukasawa, Masaaki
Rok vydání:	2022
Předmět:	Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arbitrage-free approximations of the implied volatility under, respectively, the local volatility model, the SABR model, and the rough SABR model.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2201.02752 Zobrazit plný text záznamu View this record from Arxiv