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Showing 1 to 4 of 4 for “"SABR model"”.
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A full asymptotic series of European call option prices in the SABR model with beta=1
… two pricing formulae for European options in the SABR model with beta= 1 case by means of Malliavin Calculus. We follow the approach of Alòs et al (2006) who showed that under stochastic volatility framework, the option prices can be written as the sum of the classic Hull-White (1987) term and a …
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A survey and implementation of some calibration algorithms for the SABR and Heston models
… and implements some calibration methods for the SABR and Heston models. Hagan (2002) examined the effect of the SABR parameters on the skew in order to determine which parameters may be redundant. Hagan andWest (2005) found that by fixing one of the parameters in the SABR model, the remaining …
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Analytical Solutions of the SABR Stochastic Volatility Model
… studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's …
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Recursive marginal quantization: extensions and applications in finance
… motion and constant elasticity of variance models by pricing European, Bermudan and barrier options. The current theoretical error bound is extended to apply to the proposed higher-order methods. When applied to two-factor models, recursive marginal quantization becomes computationally …