Forecasting Parameters in SABR Model
Two methods for predicting parameters in the SABR model, the vector autoregressive moving-average model and epsilon-support vector regression, both provide accurate fits, with the SABR model yielding superior pricing results.
Featured in No. 28 on 6 Dec 2023 ·
- Released
- 26 Feb 2022
- First featured
- No. 28 · 6 Dec 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 15
- Identifier
- RePEc:bba:j00001:v:1:y:2022:i:1:p:66-78:d:13
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