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学术讲座: Derivative pricing in fractional SABR model

金工双周论坛第一讲

报告题目(Title  Derivative pricing in fractional SABR model

时间:2018320日周二,12:20-13:20

地点:博学楼925

主讲人(Speaker): Tai-Ho Wang

Professor Tai-Ho Wang holds a professorship in mathematics at Baruch College, City University of New York since 2012. His research in quantitative finance includes implied volatility asymptotics in small time, static arbitrage free bounds on basket options, optimal liquidation and execution under market impact models, and recently information dynamics in financial market. He received his BA and PhD in applied mathematics from National Chiao Tung University, Taiwan.

摘要(Abstract):

In this talk, we show a bridge representation for the joint probability density of the lognormal fractional SABR model and a small time expansion of the density. Approximation of implied volatility is readily obtained by applying the Laplace asymptotic formula to the call or put prices then comparing coefficients. As an application, we price a volatility linked derivative: the Target volatility option (TVO) in the fractional SABR model. TVOs are a type of derivative instrument that explicitly depends on the evolution of an underlying asset as well as its realized volatility. We present small volatility of volatility approximations of the TVO price by resorting to chaos expansion as well as the decomposition formula.