Browsing by Subject "SABR model"

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  • Burgaya Ventura, Ferran (2021)
    The Black Scholes formula is one of the most used to determine what is the fair value of options. However, there are some assumptions such as that volatility is constant that are not met in the real market. Stochastic ...
  • Bragagnini, Iker C.; Colom Cervera, Marc; Moreno Calixto, Iván (2022-07-18)
    The Black-Scholes model fails to reproduce some empirical properties of volatility, from real market data, which means that the model may not be adequate to price certain options. Hence, the financial industry and academia ...

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