Consider a very steep skew. Would SABR always be able to fit this?

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 30, 2023 04:35 AM

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Consider a very steep skew. Would SABR always be able to fit this?

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The SABR Stochastic Alpha Beta Rho model is a popular model used to describe the volatility surface ...View the full answer

Market Practice In Financial Modelling

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