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yupengzhi/SABR-calibration
Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publication/235622441_Managing_Smile_Risk
Python
Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publication/235622441_Managing_Smile_Risk
Python
This repository is not active