English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

The stochastic-alpha-beta-rho (SABR) model has been widely adopted in optionstrading. In particular, the normal ($\beta=0$) SABR model is a popular modelchoice for interest rates because it allows negative asset values. The optionprice and delta under the SABR model are typically obtained via asymptoticimplied volatility approximation, but these are often inaccurate andarbitrageable. Using a recently discovered price transition law, we propose aGaussian quadrature integration scheme for price options under the normal SABRmodel. The compound Gaussian quadrature sum over only 49 points can calculate avery accurate price and delta that are arbitrage-free.

Option pricing under the normal SABR model with Gaussian quadratures