Calibration of the SABR Model in Illiquid Markets
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Publication:3375372
DOI10.1080/13504860500148672zbMATH Open1134.91469OpenAlexW2027336059MaRDI QIDQ3375372FDOQ3375372
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
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Cites Work
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
Cited In (8)
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- The time-dependent FX-SABR model: efficient calibration based on effective parameters
- Simulation of implied volatility surfaces via tangent Lévy models
- The impact of different correlation approaches on valuing credit default swaps with counterparty risk
- Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- The use of statistical tests to calibrate the normal SABR model
- Calibrating the Black-Derman-Toy model: some theoretical results
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