The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
复制标题
动态SABR模型和FX混合模型隐含波动率渐近展开式
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
Yasufumi Osajima
中科院分区：
文献类型：
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作者：
Yasufumi Osajima
考虑双因素随机波动率模型--SABR模型，给出了该模型隐含波动率的渐近展开公式。他的方法是基于对Malliavin微积分和大偏差的无限维分析。此外，将该方法应用于利率和外汇波动率均为随机的外汇模型，给出了外汇期权隐含波动率的渐近展开公式。
The author considers SABR model which is a two factor stochastic volatility model and gives an asymptotic expansion formula of implied volatilities for this model. His approach is based on infinite dimensional analysis on the Malliavin calculus and large deviation. Furthermore, he applies the approach to a foreign exchange model where interest rates and the FX volatilities are stochastic and gives an asymptotic expansion formula of implied volatilities of foreign exchange options.