Volatility Swap Under the SABR Model

Published 25 Mar 2013 in q-fin.PR | (1303.6090v1)

Abstract: The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.

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Authors (1)

Simon Bossoney

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