Analytic Calibration in Andreasen-Huge SABR Model
Computational Finance
2021-02-02 v2 Probability
Mathematical Finance
Pricing of Securities
Risk Management
Abstract
We derive analytic formulae which link , and parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four strikes close to ATM. Based on these formulae we give a characterisation for the SABR parameters in terms of derivatives of the swap rate forward probability density function. We test the analytic result in the application to the interest rate futures option market.
Keywords
Cite
@article{arxiv.2008.09108,
title = {Analytic Calibration in Andreasen-Huge SABR Model},
author = {K. E. Feldman},
journal= {arXiv preprint arXiv:2008.09108},
year = {2021}
}