Target volatility option pricing in the lognormal fractional SABR model

  • Authors
  • Alòs, E.; Chatterjee, R.; Tudor, S.F.; Wang, T.-H.
  • UPF authors
  • ALOS ALCALDE, ELISA;
  • Type
  • Articles de recerca
  • Journal títle
  • Quantitative Finance
  • Publication year
  • 2019
  • Volume
  • 19
  • Number
  • 8
  • Pages
  • 1339-1356
  • ISSN
  • 1469-7688
  • Publication State
  • Publicat
  • Abstract
  • apos;s calculus yields an approximation formula for the price of a target volatility option in small time by the technique of freezing the coefficient. A decomposition formula in terms of Malliavin derivatives is also provided. Alternatively, we also derive closed form expressions for a small volatility of volatility expansion of the price of a target volatility option. Numerical experiments show the accuracy of the approximations over a reasonably wide range of parameters.
  • Complete citation
  • Alòs, E.; Chatterjee, R.; Tudor, S.F.; Wang, T.-H.. Target volatility option pricing in the lognormal fractional SABR model. Quantitative Finance 2019; 19(8): 1339-1356.
Bibliometric indicators
  • 4 times cited Scopus
  • 4 times cited WOS
  • Índex Scimago de 0.691(2019)