A rough SABR formula (Q2170291): Difference between revisions

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Property / DOI: 10.3934/fmf.2021003 / rank
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Property / cites work: On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility / rank
 
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Latest revision as of 08:23, 17 December 2024

scientific article
Language Label Description Also known as
English
A rough SABR formula
scientific article

    Statements

    title
    A rough SABR formula (English)
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    author
    Masaaki Fukasawa
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    Jim Gatheral
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    publication date
    30 August 2022
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    zbMATH Keywords
    volatility surface
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    implied volatility
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    SABR model
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    rough volatility
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    calibration
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    Identifiers

    zbMATH DE Number
    7578220
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    OpenAlex ID
    W3172608759
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    arXiv ID
    2105.05359
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    DOI
    10.3934/FMF.2021003
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