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Implied Volatility in case of SABR Model

The SABR( Stochastic alpha beta rho) is a volatility model with the following diffusion:
dSttStβdWt1
t= μαtdWt2
Where rho is the correlation between the two brownian. dWt1dWt2=ρdt
We use formulas from Berestycki et al which are a correction to Hagan et al. Find the reference here

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Copyright : Moulong Armel Rodrigue, 2012

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