Pierre-Yves Henri Rivaille

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Fitting the Smile, Smart Parameters for SABR and Heston

Number of pages: 13 Posted: 31 Oct 2009
Pierre Gauthier and Pierre-Yves Henri Rivaille
Daiwa Capital Markets Europe and affiliation not provided to SSRN
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Abstract:

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Stochastic volatility, SABR, Heston, Smile volatility, Calibration, Optimization