SABR volatility model
Stochastic volatility model used in derivatives markets
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model.
Nº Q7388452 ★
Commune · Savoirs
SABR volatility model
Stochastic volatility model used in derivatives markets
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model.
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Prix plancher
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Médiane 7 j
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Ventes 30 j
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In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick S. Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward.
Texte : Wikipédia en anglais, CC BY-SA 4.0. ·
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