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3 questions
4
votes
1
answer
841
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Bartlett's delta gives wrong signs for calls and puts
There is a paper by Bruce Bartlett introducing a modified delta for SABR model which accounts for the correlation between forward and volatility processes. The main result of the paper is that if $dF$ ...
- 853
2
votes
1
answer
623
views
Pnl explain using adjusted SABR delta
When looking at SABR, the starting point for a swaption's delta is the usual:
$\Delta = \partial V/\partial F $
However, since we have expressed our volatility $ \sigma $ as a function of our ...
- 146
2
votes
0
answers
255
views
Option delta under Black mode vs SABR
Under what scenarios would the Deltas for Options on Bond Futures differ the most between Black vs SABR models ?
- 21