ZABR—面向大众的扩展

J. Andreasen, B. Huge
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引用次数: 19

摘要

我们扩展了广泛使用的SABR模型(Hagan等人(2002)),以包括一般波动函数和随机波动过程本身的CEV功率。利用短时间展开式导出Dupire局部波动率的结果,然后将其插入到单时间步长有限差分格式中以生成无套利期权价格。与标准的SABR模型相比,我们的方法有很多优点:a.它消除了低和高的执行价套利,b.它允许对一组离散的期权报价进行精确拟合,c.它对低(和潜在的负)执行价和非常高的执行价都提供了更明确的控制。所有这些都不会牺牲实现的速度。
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ZABR -- Expansions for the Masses
We extend the widely used SABR model (Hagan et al (2002)) to include a general volatility function and a CEV power on the stochastic volatility process itself. Using a short time expansion we derive results for the Dupire local volatility which in turn is inserted into a single time step finite difference scheme to generate arbitrage free option prices. Our approach has a number of advantages over the standard SABR model: a. it eliminates arbitrage for low and high strikes, b. it allows for an exact fit to a set of discrete option quotes, and c. it gives more explicit control over the wings, both for low (and potentially negative) strikes and for very high strikes. All of this without sacrificing speed in the implementation.
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