SABR volatility model
id:
sabr-volatility-model-207-259503
title:
SABR volatility model
text:
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick S. Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward.
brand slug:
wiki
category slug:
encyclopedia
description:
Stochastic volatility model used in derivatives markets
original url:
https://en.wikipedia.org/wiki/SABR_volatility_model
date created:
2006-10-16T14:42:27Z
date modified:
2024-09-10T22:26:53Z
main entity:
{"identifier":"Q7388452","url":"https://www.wikidata.org/entity/Q7388452"}
image:
fields total:
13
integrity:
15