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ZABR Stochastic Volatility Smile Modelling

This is a toy implementation of the ZABR Model from Andreasen and Huge

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Updated 29 Mar 2015

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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.

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MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
Windows macOS Linux