The SABR forward smile

Thomas Roos
20 Apr 2020

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO VIEW THE PDF

In this article, Thomas Roos, using short-time expansion techniques, obtains analytic implied volatilities for European and forward starting options for a SABR-type stochastic volatility model with an arbitrary local volatility component and time-dependent (piecewise-constant) parameters. The formulas can be used to efficiently calibrate the model to European options at two expiries and to calculate the spanning forward starting option price

A forward starting option

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

The SABR forward smile

Thomas Roos presents the expressions for the implied volatilities of European and forward starting options

To continue reading...

Sign In

Start a Risk.net Trial

You are currently on corporate access.