The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
نویسندگان
چکیده
The author considers SABR (stochastic-αβρ) model which is a two factor stochastic volatility model and give 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.
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تاریخ انتشار 2006