Approximation formulas for short-maturity near-the-money implied volatilities in the Heston and SABR models

DOI10.12941/JKSIAM.2023.27.180MaRDI QIDQ6647962

Hyunmook Choi, Hosung Ryu, Hyungbin Park

Publication date: 3 December 2024

Published in: Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

approximation formulaimplied volatilityHeston modelSABR model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Title not available (Why is that?)
• Full and fast calibration of the Heston stochastic volatility model
• Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
• The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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