A STOCHASTIC VOLATILITY ALTERNATIVE TO SABR

被引：5
|
作者：
Rogers, L. C. G. [1 ]
Veraart, L. A. M. [2 ]
机构：
[1] Univ Cambridge, Stat Lab, Cambridge CB3 0WB, England
[2] Princeton Univ, Princeton, NJ 08544 USA
来源：
JOURNAL OF APPLIED PROBABILITY | 2008年 / 45卷 / 04期
基金：
英国工程与自然科学研究理事会;
关键词：
SABR; European option; volatility smile;
D O I：
10.1239/jap/1231340234
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We present two new stochastic volatility models in which option prices for European plain-vanilla options have closed-form expressions. The models are motivated by the well-known SABR model, but use modified dynamics of the underlying asset. The asset process is modelled as a product of functions of two independent stochastic processes: a Cox-Ingersoll-Ross process and a geometric Brownian motion. An application of the models to options written on foreign currencies is studied.
引用
收藏
页码：1071 / 1085
页数：15
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