We propose a multiscale SABR model to describe the dynamics of forward prices/rates. This model consists of a system of three stochastic differential equations whose independent variable is time and whose dependent variables are the forward prices/rates and two stochastic volatilities varying on two different time scales.

Normal and lognormal SABR and multi-scale SABR Models: Option Pricing and Calibration

MARIANI, FRANCESCA;
2012-01-01

Abstract

We propose a multiscale SABR model to describe the dynamics of forward prices/rates. This model consists of a system of three stochastic differential equations whose independent variable is time and whose dependent variables are the forward prices/rates and two stochastic volatilities varying on two different time scales.
2012
9788882862688
multiscale SABR model; calibration problem; option pricing
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/466356
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