In the current low rates environment, the classic stochastic alpha beta rho (SABR) formula used to compute option-implied volatilities leads to arbitrages. In "Arbitrage free SABR", Hagan et al ...
Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the numerical solution of Maxwell’s equations, enabling detailed electromagnetic analysis across a wide range of applications.
We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results