A rough SABR formula (Q2170291): Difference between revisions

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Revision as of 18:32, 19 March 2024

scientific article
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A rough SABR formula
scientific article

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    A rough SABR formula (English)
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    30 August 2022
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    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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