Discrete time stochastic volatility

Quant proposes faster model to price arbitrage-free swaptions


Listen here to Thomas Roos in conversation

Thomas Roos proposes a new methodology for obtaining arbitrage-free European swaption prices, requiring the calculation of a simple one-dimensional numerical integral per strike. The approach provides control over the wings of the distribution and also has applications to the pricing of forward starting options

The stochastic alpha, beta, rho (SABR) model, originally introduced in Hagan et al (2002), is widely used in

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