A rough SABR formula (Q2170291): Difference between revisions
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Revision as of 01:36, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A rough SABR formula |
scientific article |
Statements
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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