Calibration of the SABR Model in Illiquid Markets
Year of publication: |
2005
|
---|---|
Authors: | West, Graeme |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 12.2005, 4, p. 371-385
|
Publisher: |
Taylor & Francis Journals |
Subject: | SABR model | equity derivatives | volatility skew calibration | illiquid markets |
-
Illiquidity and under-valuation of firms
Gale, Douglas, (2009)
-
No free lunch for large investors
Bank, Peter, (1999)
-
Optimal liquidation in dark pools
Kratz, Peter, (2011)
- More ...
-
Interpolation methods for curve construction
Hagan, Patrick S., (2006)
-
Calibration of the SABR model in illiquid markets
West, Graeme, (2005)
-
A Finite Difference Model for Valuation of Employee Stock Options
West, Graeme, (2009)
- More ...