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q-fin.PR2020
SABR smiles for RFR caplets
Sander Willems
We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets can be priced using the m…
q-fin.PR2018
Asian Option Pricing with Orthogonal Polynomials
Sander Willems
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that…