SABR symmetry

SABR symmetry


Pricing options using partial differential equations (PDEs) suffers from the so-called curse of dimensionality: as the number of variables involved increases, the complexity and the computational costs do so exponentially. So, if a multi-factor model is to be used, one that has analytic pricing formulas available is always preferred. This is one of the reasons why the stochastic alpha beta rho (SABR) model (Hagan et al, 2002, Hagan, Lesniewski & Woodward, 2005, Antonov & Spector, 2012) is

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: