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4:15 pm

Applied Math Talk: A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1 given by Zhengji Guo (CGU)

October 14, 2019 @ 4:15 pm - 5:15 pm
Emmy Noether Room, Millikan 1021, Pomona College, 610 N. College Ave.
Claremont, California 91711
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We develop two new pricing formulae for European options. The purpose of these formulae is to better understand the impact of each term of the model, as well as improve the speed of the calculations. We consider the SABR model (with $\beta=1$) of stochastic volatility, which we analyze by tools from Malliavin Calculus. We follow […]

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