Blasting Barriers

11 Pages Posted: 15 Oct 2022

Date Written: September 30, 2022

Abstract

In this paper we find very accurate approximation formulas for single barrier option prices in the ZABR model. The formulas are based on a combination of put-call symmetry and short maturity expansions. For the SABR model we get closed form formulas and in the more general ZABR model an ODE must be solved.

Keywords: Option pricing, Barrier options, SABR, ZABR

Suggested Citation

Andreasen, Jesper and Huge, Brian Norsk, Blasting Barriers (September 30, 2022). Available at SSRN: https://ssrn.com/abstract=4234265 or http://dx.doi.org/10.2139/ssrn.4234265

Jesper Andreasen

Verition Group LLC ( email )

20 st james street
London, SW1A 1ES
United Kingdom

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