21 Pages Posted: 18 Jul 2014
Date Written: July 16, 2014
The SABR stochastic volatility model is a very popular interpolator of implied volatilities, with a given dynamic. This paper presents a simple and very fast method to calibrate the SABR model to given market volatilities, that is to imply the SABR parameters from a given market smile.
Keywords: stochastic volatility, SABR, calibration, implied volatility, finance
Suggested Citation: Suggested Citation
Le Floc'h, Fabien and Kennedy, Gary J., Explicit SABR Calibration Through Simple Expansions (July 16, 2014). Available at SSRN: https://ssrn.com/abstract=2467231 or http://dx.doi.org/10.2139/ssrn.2467231