"El Modelo SABR y su Relación con la Geometría Diferencial: Valuación de Opciones de Compra de Dólares del Banco de México "

Abstract

The purpose of this paper is to review the relationship between the SABR volatilitymodel and differential geometry according to Henry-Labordere’s (2009) version, which is an alternative proposal of perturbation methods from Hagan (2002). It is calibrated the exchange rate dollar/peso by using the SABR model, moreover the option price for the case of reserves accumulation of the central Bank on Mexico is carried out. It is found that the traditional option price with constant volatility is different front that in the SABR volatility model.