1
$\begingroup$

Do analytical formulae exist for the central moments under the SABR model? Assuming dynamics for the forward rate $\{F_t, t \geq 0\}$ under a shifted SABR model. How do we derive $\mathbb{E}[X(T)^n]$ where $X(T) = \log(F(T)/F(0))$?

Reference to papers are appreciated.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.