Calibration of the SABR Model in Illiquid Markets

DOI10.1080/13504860500148672zbMath1134.91469OpenAlexW2027336059MaRDI QIDQ3375372

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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

Related Items (4)

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 ⋮ The impact of different correlation approaches on valuing credit default swaps with counterparty risk ⋮ Simulation of Implied Volatility Surfaces via Tangent Lévy Models

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Cites Work

• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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