A rough SABR formula (Q2170291)
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scientific article; zbMATH DE number 7578220
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A rough SABR formula |
scientific article; zbMATH DE number 7578220 |
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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0.7702802
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0.7626849
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0.75354075
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0.75127316
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0.7498473
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