Explicit SABR Calibration Through Simple Expansions
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
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