The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model |
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Statements
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (English)
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16 November 2021
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stochastic volatility
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SABR model
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CEV model
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implied volatility
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