论文标题
关于隐含波动率的无套利近似值
On asymptotically arbitrage-free approximations of the implied volatility
论文作者
论文摘要
后续福川和集会（数学金融的前沿，2022年），我们证明BBF公式，SABR公式和粗糙的SABR公式分别提供了无隐含波动率的无套利近似值，分别是局部动力学模型，SABR模型和粗糙的SABR模型。
Following-up Fukasawa and Gatheral (Frontiers of Mathematical Finance, 2022), we prove that the BBF formula, the SABR formula, and the rough SABR formula provide asymptotically arbitrage-free approximations of the implied volatility under, respectively, the local volatility model, the SABR model, and the rough SABR model.
