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Normal SABR Model Option Pricing by adityajadhav.ab is a document available to read on EtoBox.
This paper proposes a Gaussian quadrature integration scheme for option pricing under the normal SABR model, which is particularly useful for interest rates due to its allowance for negative asset values. The method improves upon traditional asymptotic implied volatility approximations, providing accurate and arbitrage-free option prices and deltas using only 49 quadrature points. The study contributes to the literature by extending previous models and offering a practical numerical scheme for efficient opt
- Author
- adityajadhav.ab
- Language
- EN