Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems

@inproceedings{Fatone2013ClosedFM,
  title={Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems},
  author={Lorella Fatone and Francesca Mariani and Maria Cristina Recchioni and Francesco Zirilli},
  year={2013}
}
We study two calibration problems for the lognormal SABR model using the moment method and some new formulae for the moments of the logarithm of the forward prices/rates variable. The lognormal SABR model is a special case of the SABR model [1]. The acronym “SABR” means “Stochastic-αβρ” and comes from the original names of the model parameters (i.e., α,β,ρ) [1]. The SABR model is a system of two stochastic differential equations widely used in mathematical finance whose independent… CONTINUE READING

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