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- W2549845650 abstract "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." @default.
- W2549845650 created "2016-11-30" @default.
- W2549845650 creator A5027357102 @default.
- W2549845650 date "2007-01-01" @default.
- W2549845650 modified "2023-09-23" @default.
- W2549845650 title "Using SABR model to produce smooth local volatility surfaces" @default.
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