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A unified model of SABR and mean-reverting stochastic volatility for derivative pricing

Sun‐Yong Choi, Jeong‐Hoon Kim
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The Impact of the Volatility of Monetary Policy Shocks

Journal of Money, Credit and Banking, 2013
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Stock Volatility during the Recent Financial Crisis

European Financial Management, 2011
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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

, 2016
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier   +2 more
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Using SABR model to produce smooth local volatility surfaces

, 2007
Artur Sepp
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The SABR Model : Calibrated for Swaption's Volatility Smile

, 2014
Nguyen H. Tran, Anton Weigardh
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The equivalent CEV volatility of the SABR model

, 2019
Jaehyuk Choi, Lixin Wu
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Modelling Interest Rate Derivatives with stochastic volatility using SABR model A thesis presented for M.Sc. in Financial Risk Management

2019
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