6 citations · 10 across the 6 of their papers we have counts for
3 papers · 1 filter
Target volatility option pricing in lognormal fractional SABR model
Elisa Alos, Rupak Chatterjee, Sebastian Tudor +1
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicati…
Most-likely-path in Asian option pricing under local volatility models
Louis-Pierre Arguin, Nien-Lin Liu, Tai-Ho Wang
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored…
Probability density of lognormal fractional SABR model
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed n…