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  • Hagan’s SABR model
  • Gatheral’s SVI
  • Lee’s moment formula
  • Smile parametrisations

Smile parametrisations#

Shapes for the implied volatility smile: Hagan’s SABR formula, Gatheral’s SVI, and Lee’s bound on how steep the wings can be.

Hagan’s SABR model

Hagan's SABR model

Gatheral’s SVI

Gatheral's SVI

Lee’s moment formula

Lee's moment formula
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