most citedModelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models

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q-fin.MF2014★ 2 cited

Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models

Jan Kuklinski, Doinita Negru, Pawel Pliszka

We discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX…