Calibration of the SABR Model in Illiquid Markets (Q3375372): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/13504860500148672 / rank | |||
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| Property / OpenAlex ID: W2027336059 / rank | |||
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| Property / cites work: Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility / rank | |||
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Latest revision as of 10:50, 24 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of the SABR Model in Illiquid Markets |
scientific article |
Statements
Calibration of the SABR Model in Illiquid Markets (English)
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8 March 2006
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SABR model
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equity derivatives
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volatility skew calibration
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illiquid markets
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