Abstract
The SABR model introduced in Hagan et al. [39] is widely used by practitioners to capture skew and smile features observed in the interest rates implied volatilities.
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- 1.
This rate obviously shrinks with time going up.
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Antonov, A., Konikov, M., Spector, M. (2019). Introduction. In: Modern SABR Analytics . SpringerBriefs in Quantitative Finance. Springer, Cham. https://doi.org/10.1007/978-3-030-10656-0_1
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DOI: https://doi.org/10.1007/978-3-030-10656-0_1
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