Browsing by Subject "SABR model"

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  • Stochastic volatility models
    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 ...
  • The SABR model in financial practice
    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 ...