In this file we illustrate the examples from the Andreasen/Huge paper "ZABR - Expansion for the masses". We reproduce the figures and show an implementation of the model using the techniques of the paper.
Kienitz Wetterau FinModelling (2021). ZABR Stochastic Volatility Smile Modelling (https://www.mathworks.com/matlabcentral/fileexchange/50328-zabr-stochastic-volatility-smile-modelling), MATLAB Central File Exchange. Retrieved .
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