Extensions of the SABR Model for Equity Options
作者： Irakli Khomasuridze
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摘要: Modeling of stock price behavior (dynamic) is key concept in option theory, as based on chosen model one can further derive prices for options underlying assets. It more then obvious that the better reflects real asset dynamics, pricing will be. This thesis discusses equity using extension "classical" SABR model. The idea of this we assume volatility not only stochastic but also has non zero drift term. Drift term to be mean reverting, i.e. constantly pushed some function with predefined reverting rate, while diffusion term similar under "classical" SABR
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