From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market

By Wenxuan Zhang, Zhouchi Lin, Benzhuo Lu

Published 2026-03-29

Everscope rating

1295

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Skew-SABR Model. Problem types: Option Pricing, Risk Management, Implied Volatility Surface Fitting, Model Calibration, Optimization.

arXiv:2603.27501 · Paper rankings

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