The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model

By Yasufumi Osajima. 2007

61 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/7e58a0ab09176d3bfab7de32bbff28e68066a5f3

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In Demography

1. Masaaki Fukasawa
2. Peter K. Friz
3. Ismaël F. Bailleul

In Finance

1. Archil Gulisashvili
2. Masaaki Fukasawa
3. Benjamin Stemper
4. Christian Bayer
5. Blanka Horvath
6. Peter K. Friz
7. Eduardo Abi Jaber
8. Nicolas Victoir

Citations in the corpus

• Short-time at-the-money skew and rough fractional volatility (2015, background): “As already mentioned, (4) partially extends Medvedev and Scaillet (2006) and Osajima (2006).”
• Short-time near-the-money skew in rough fractional volatility models (2017, background): “The following result can be seen as a non-Markovian extension of work by Osajima (2015). The statement here is a combination of Theorem 5.”