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Implied volatility
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==Implied volatility parametrisation== With the arrival of [[big data]] and [[data science]], parametrising the implied volatility has taken central importance for the sake of coherent interpolation and extrapolation purposes. The classic models are the [[SABR volatility model|SABR]] and [[Heston model#Implementation|SVI]] model with their IVP extension.<ref>{{cite SSRN|last1=Mahdavi-Damghani|first1=Babak|title=Introducing the Implied Volatility Surface Parametrization (IVP)|date=25 June 2015 |ssrn=2686138}}</ref>
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