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

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