The time-dependent FX-SABR model: efficient calibration based on effective parameters

MaRDI QIDQ3195637zbMATH OpenFDO

Authors Anthonie W. van der Stoep, Lech A. Grzelak, Cornelis W. Oosterlee

Publication date 20 October 2015

zbMATH Keywords

calibrationeffective parametersFXlocal volatilityMonte Carlopath-dependenttime-dependent SABR

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(8)

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• A unified model of SABR and mean-reverting stochastic volatility for derivative pricing
• When is volatility fair? Hölder regularity and financial risk

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