Is there a research showing a way to use SABR LMM with new RFRs such as SOFR, i.e. pricing exotic path-dependent RFR derivatives with volatility smile and skew?

I'm aware that

However I haven't seen anything regarding FMM with stochastic volatility. Does it mean we don't know yet how to price exotic RFR options or how to price vanilla RFR options simultaneously with exotic LIBOR options in one model?

  • 2
    $\begingroup$ Modelling the Libor transition: Implementing and extending the generalized forward market model by Tim Hack. I believe it's a Master Thesis in collaboration with Rabobank. $\endgroup$
    – Olorun
    May 25, 2022 at 12:58


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