Calibration of the SABR Model in Illiquid Markets (Q3375372)

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Calibration of the SABR Model in Illiquid Markets
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    title
    Calibration of the SABR Model in Illiquid Markets (English)
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    publication date
    8 March 2006
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    zbMATH DE Number
    5009961
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    zbMATH Keywords
    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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    OpenAlex ID
    W2027336059
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