Using SABR model to produce smooth local volatility surfaces

Visit Link Description: We apply SABR model (2002) and, in particular, the asymptotic formula for SABR implied volatility to 1) parametrize and fit market implied volatility surface, and 2) produce a smooth local volatility surface. Discuss this paper	Submitter: vanna Publisher: malbury Published: Fri, 20-Jul-2007 ICRA: EC - Early Childhood linked: 3701 times Rating: (3 Votes)

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