Jeff Liang (@JeffLia12309881) “从SABR Delta推导到SABR Gamma的展开更正： SABR Delta = BS_Delta (Sigma_B) + BS_Ve” — TopicDigg
Jeff Liang
@JeffLia12309881
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加入 June 2020
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从SABR Delta推导到SABR Gamma的展开更正：
SABR Delta = BS_Delta (Sigma_B) + BS_Vega(Sigma_B)*∂Sigma/∂F
SABR Gamma = BS_Gamma + ∂BS_Delta/∂Sigma*∂Sigma/∂F + ∂BS_Vega/∂F*∂Sigma/∂F + ∂BS_Vega/∂Sigma*(∂Sigma/∂F)^2+BS_Vega*∂^2 Sigma/∂F^2
SABR Gamma = BS_Gamma + 2*BS_Vanna*∂Sigma/∂F+BS_Volga*(∂Sigma/∂F)^2+BS_Vega*∂^2 Sigma/∂F^2
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