This is a summary of links featured on Quantocracy on Wednesday, 11/08/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Calibrating volatility smiles with SABR [PyQuant News]In todays newsletter, well explore the SABR stochastic volatility model. Its a very popular volatility model used by professionals for many types of derivatives. Today, well look at how to calibrate the SABR parameters and use them to fit a volatility smile for equity options. Sound good? Lets go! Calibrating volatility smiles with SABR The SABR model, built in 2002, stands as a key