Calibration of the SABR Model in Illiquid Markets

DOI10.1080/13504860500148672MaRDI QIDQ3375372zbMATH OpenOpenAlexFDO

Authors

Publication date 8 March 2006

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860500148672

zbMATH Keywords

equity derivativesilliquid marketsSABR modelvolatility skew calibration

Mathematics Subject Classification ID

Recommendations

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility

Cited in

(9)

• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
• The use of statistical tests to calibrate the normal SABR model
• The time-dependent FX-SABR model: efficient calibration based on effective parameters
• Calibrating the Black-Derman-Toy model: some theoretical results
• Simulation of implied volatility surfaces via tangent Lévy models
• The impact of different correlation approaches on valuing credit default swaps with counterparty risk
• A unified model of SABR and mean-reverting stochastic volatility for derivative pricing

Describes a project that uses

Uses Software

• Mathematica

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