Pricing and Hedging the Smile with SABR: Evidence from the Interest Rate Caps Market
首次全面研究SABR模型在利率上限定价与对冲中的表现，使用两年日度数据检验其定价精度和波动率微笑动态捕捉能力，发现该模型能产生优于Black模型的对冲比率。
This is the first comprehensive study of the SABR (stochastic alpha‐beta‐rho) model (Hagan, Kumar, Lesniewski, & Woodward, 2002) on the pricing and hedging of interest rate caps. I implement several versions of the SABR interest rate model and analyze their respective pricing and hedging performance using two years of daily data with seven different strikes and ten different tenors on each trading day. In‐sample and out‐of‐sample tests show that the fully stochastic version of the SABR model exhibits excellent pricing accuracy and, more importantly, captures the dynamics of the volatility smile over time very well. This is further demonstrated through examining delta‐hedging performance based on the SABR model. My hedging result indicates that the SABR model produces accurate hedge ratios that outperform those implied by the B lack model. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 32:773‐791, 2012