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A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'
Jaehyuk Choi / Lixin Wu
numerical methods / option pricingResource overview

A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'

Paper2020

by Jaehyuk Choi, Lixin Wu

Tags
numerical methodsoption pricingstochastic processes

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Suggested foundations for volatility models and surfaces and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

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