Artur Sepp
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.
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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.
Key concepts: SABR volatility model, Implied volatility, Volatility (finance), Volatility smile, Forward volatility, Local volatility, Econometrics, Stochastic volatility