SABR volatility model (Q7388452)
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stochastic volatility model used in derivatives markets
- stochastic alpha-beta-rho
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SABR volatility model |
stochastic volatility model used in derivatives markets |
|
Statements
Identifiers
1 reference
Sitelinks
Wikipedia(3 entries)
- enwiki SABR volatility model
- itwiki Modello SABR
- ruwiki Модель SABR