Calibration of the SABR Model in Illiquid Markets
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Publication:3375372
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Cites work
- 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?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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(8)- The impact of different correlation approaches on valuing credit default swaps with counterparty risk
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- 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
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- Simulation of implied volatility surfaces via tangent Lévy models
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