A rough SABR formula
<p style='text-indent:20px;'>Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the rough Bergomi model. We solve this ODE numerically and further present a very accurate approximation to the numerical solution that we dub the <i>rough SABR formula</i>.</p>
1998 ◽
Vol 08
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pp. 1317-1321
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2000 ◽
Vol 37
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pp. 1217-1245
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2020 ◽
Vol 2
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pp. 15-18
2011 ◽
Vol 3
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pp. 59-63
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