Consider the SABR-model with = 1. Show that the at-the-money smile for F 0 = K
Question:
Consider the SABR-model with β = 1. Show that the at-the-money smile for F0 = K ± δ, with small δ, is symmetric. Use that δ is so small that O(δ2) terms can be neglected.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 66% (9 reviews)
CoC is the difference between the futures and spot p...View the full answer
Answered By
Dudhat Vaidehi
I tutored mostly elementary school students privately after school and during the summer. We met in their homes or at the public library. I charged an hourly fee, and I provided any necessary materials.
Having taught in special education in two local schools for many years meant that I had contact with a lot of parents of special needs students. I never had to advertise — word of mouth was how most folks knew of me. At one point I did have a website, but didn't utilize it much. I stayed very busy, especially in the summers, and always had a full schedule. I typically met with each student's teacher in order to get an idea of what the focus of my instruction/remediation should be. Becoming familiar with the student's learning style(s) was also very helpful. Often parents would share records and test results with me. After each tutoring session, I documented the student’s progress and gave parents written updates, as well as phone calls or emails as needed.
While my students and I certainly utilized technology and the internet often during our sessions, I never tutored online or for any tutoring company, so am not familiar with the curriculums or methods used in those settings.
Tutoring one on one was very enjoyable and rewarding. My students and I had fun, and grew quite fond of one another. The extra income was a bonus. I had to retire from tutoring due to a physically handicapping disease, and miss my students very much.
0.00
0 Reviews
10+ Question Solved
Related Book For
Question Posted:
Students also viewed these Business questions
-
In the SABR model, suppose that F0=5, =0.5, 0=0.447 (equivalent to a lognormal volatility of 20%), and T=1. Show how the volatility smile varies with for (a) v=0.6 and (b) (a) v=1.2. Consider values...
-
The put-call parity rule can be expressed as C - P = [f0(T) - X] (1 + r) - T. Consider the following data: f0(T) = 102, X = 100, r = 0.1, T = 0.25, C = 4, and P = 1.75. A few calculations will show...
-
Consider an individuals utility function over two goods, q m and q s , where m indicates the primary market in which a policy will have its effect and s is a related secondary market:...
-
Dr. Thomas Bilski is a primary care physician with a practice that is currently serving 280 patients. Dr. Bilski would like to administer a survey to his patients to measure their satisfaction levels...
-
What are all of the structural possibilities for C4H6? (Nine compounds, four acyclic and five cyclic, are known.)
-
Analyze the mechanisms underlying the circadian rhythm synchronization within organisms, integrating insights from molecular genetics, neuroscience, and systems biology to elucidate the role of clock...
-
Chauncey Corporation began business on June 30, 2016. At that time, it issued 20,000 shares of \(\$ 50\) par value, six percent, cumulative preferred stock and 90,000 shares of \(\$ 10\) par value...
-
1. Phishing is the method of: a. Using e-mail or other Internet applications to deceive people into disclosing valuable personal information. b. Convincing a person to divulge personal information...
-
Coronado Inc., which produces a single product, has prepared the following standard cost sheet for one unit of the product. Direct materials (10 pounds at $3.40 per pound) $34.00 Direct labor (6...
-
Polynomials, orthogonal with respect to the weighting function w(x) = 1 in the interval [?1, 1], are called the Legendre-polynomials. They are generated by? Compute the Legendre-polynomials up to N =...
-
Consider the random variable N Poi(), which has expectation value E[N] = . Show that the variance is also Var[N] = .
-
Solve the problem of a heavy symmetric top spinning on a frictionless table (see Fig.). You may do this by simply stating what modifications are needed in the derivation in Section 8.7.3 (or Section...
-
Australian Mart (AM) operates at capacity and decides to apply ABC analysis to three product lines: pastry and cakes, Dairy Products, and meat products. It identifies four activities and their...
-
How do high-performance concrete formulations impact structural durability and sustainability, and what innovations are on the horizon for further reducing the environmental footprint of concrete...
-
Name some of the trade organizations involved in the transportation industry.
-
Caribbean Economic Development Case Study The Caribbean still has a long way to go to make it into the top 50 states that sit atop the annually ranked countries in the United Nations Human...
-
A trade school board is tasked with the development of an entrance examination for an auto mechanics school. While developing the exam for the school, one must keep the following questions in mind:...
-
Using Exhibit 12-1, determine the average numbers of additional years males alive at age 35 may expect to live.
-
A genetically engineered strain of Escherichia coli (E. coli) is used to synthesize human insulin for people suffering from type I diabetes mellitus. In the following simplified reaction scheme,...
-
In the previous exercise, you calculated an effect size for data for 63 international students at the University of Melbourne. Imagine that you had a sample of 300 students. How would the effect size...
-
In a study of the effects of testing on enhancing memory, Akan and colleagues (2018) performed an a priori power analysis to determine the sample size they would need to detect a small to...
-
Ego depletion refers to the idea that we have a limited amount of self-control, which can be depleted. Exerting self-control in one situation will make it harder to exert self-control on later tasks....
-
5. El diseo de investigacin incluye los siguientes componentes: (1) disear el tipo de investigacin (exploratoria, descriptiva o causal), (2) identificar la informacin que se necesita, (3) especificar...
-
You think you nail your Shark Tank pitch. But Mr. Wonderful looks concerned. He wants to know if you are a costume business bozo. So, he asks you what your break-even is. You assure him you are no...
-
Listed below are foot lengths in inches of randomly selected women in a study of a country's military in 1988. Are the statistics representative of the current population of all women in that...
Study smarter with the SolutionInn App