摘要翻译:
简要介绍了SABR模型,并解释了波动率互换。然后使用金融数学中的通常理论计算波动率互换的公允价值。用汇流超几何函数找到了一个解析解。然后用Rama Cont的泛函演算对该解进行了验证。
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英文标题:
《Volatility Swap Under the SABR Model》
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作者:
Simon Bossoney
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最新提交年份:
2013
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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
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英文摘要:
The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.
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PDF链接:
https://arxiv.org/pdf/1303.6090