Negative Rate and the Left Wing of Volatility Smile under SABR Process


The weakness of SABR model, proposed by Hagan, Kumar, Lesniewski and Woodward (2002), came to light in low and negative rate environment. The breakdown of Hagan's expansion can be explained by probability mass of forward... [ view full abstract ]


  1. Kun Huang (Hanken School of Economics)

Topic Areas

Asymptotics , Computational Finance , Numerical Methods


PS » Poster Presentations (11:00 - Monday, 16th July)

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