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zabr-sabr

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vlad-perederiy / mean-rev_SABR-based_models

Closed-form solutions and fast calibration & simulation for SABR-based models with mean-reverting stochastic volatility

stochastic-volatility-models implied-volatility equity-options heston-model mean-reversion options-pricing sabr-model volatility-smile closed-form-solution volatility-surface implied-volatility-surface zabr-sabr

Updated Sep 23, 2025
Python

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