Calibration of the SABR Model in Illiquid Markets (Q3375372): Difference between revisions
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Revision as of 10:57, 5 March 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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