• Corpus ID: 246017105

On asymptotically arbitrage-free approximations of the implied volatility

@inproceedings{Fukasawa2022OnAA,
  title={On asymptotically arbitrage-free approximations of the implied volatility},
  author={Masaaki Fukasawa},
  year={2022}
}
Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arbitrage-free approximations of the implied volatility under, respectively, the local volatility model, the SABR model, and the rough SABR model. 

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  • Frontiers of Mathematical Finance,
  • 2022