英文标题：
《Mass at zero in the uncorrelated SABR model and implied volatility
asymptotics》
---
作者：
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
---
最新提交年份：
2016
---
英文摘要：
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As an application--in fact the original motivation for this paper--we derive small-strike expansions for the implied volatility when the maturity becomes short or large. These formulae, by definition arbitrage free, allow us to quantify the impact of the mass at zero on existing implied volatility approximations, and in particular how correct/erroneous these approximations become.
---
中文摘要：
我们研究了不相关SABR随机波动率模型中原点的质量，并推导了几个易于处理的表达式，尤其是当时间变小或变大时。作为一个应用——实际上是本文的原始动机——我们推导出了当到期日变短或变大时隐含波动率的小罢工扩展。根据无套利的定义，这些公式允许我们量化零质量对现有隐含波动率近似值的影响，尤其是这些近似值的正确/错误程度。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->