An approximation formula for normal implied volatility under general local stochastic volatility models

被引：1
|
作者：
Karami, Yasaman [1 ]
Shiraya, Kenichiro [1 ]
机构：
[1] Univ Tokyo, Grad Sch Econ, Quantitat Finance, Tokyo, Japan
来源：
JOURNAL OF FUTURES MARKETS | 2018年 / 38卷 / 09期
关键词：
approximation formula; local stochastic volatility; normal implied volatility; CREDIT RISK; STRUCTURAL MODELS; FORECASTS; COMBINATION; SECURITIES; PREDICTION; RATIOS; BONDS;
D O I：
10.1002/fut.21931
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we applied our framework to polynomial local stochastic volatility models with various degrees and could replicate the swaptions market data accurately. In addition we examined the accuracy of the results by comparison with the Monte-Carlo simulations.
引用
收藏
页码：1043 / 1061
页数：19
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