2020•SSRN Electronic JournalOpen access

Effective Stochastic Volatility: Applications to ZABR-type Models

Mike Felpel, Joerg Kienitz, Thomas A. McWalter

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Key concepts: SABR volatility model, Stochastic volatility, Heston model, Volatility (finance), Implied volatility, Constant elasticity of variance model, Volatility smile, Econometrics

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