Calibration of the SABR Model in Illiquid Markets (Q3375372)
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scientific article; zbMATH DE number 5009961
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| default for all languages | No label defined |
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| English | Calibration of the SABR Model in Illiquid Markets |
scientific article; zbMATH DE number 5009961 |
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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0.8200237154960632
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0.7931655049324036
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0.789352297782898
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0.777538537979126
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0.7679469585418701
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