A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
نویسندگان
چکیده
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753–1765] provide short term asymptotics for the mass at zero under uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating integrated variance with a moment-matched lognormal distribution. We improve accuracy of numerical integration using Gauss–Hermite quadrature. further obtain option price similarly integrating constant elasticity (CEV) prices without resorting to small-strike volatility smile De Marco [SIAM J. Financ. Math., 2017, 8(1), 709–737]. For SABR model, new pricing method is accurate and arbitrage-free across all strike prices.
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2021
ISSN: ['1469-7696', '1469-7688']
DOI: https://doi.org/10.1080/14697688.2021.1876908