<t>@muaddibThanks for the link. I will go through the article.As for why I am using SABR + Local Volatility.I need to price some equity path dependent basket exotics (but nothing with forward volatility sensitivity). Then estimating parameters + reaching required accuracy could be a problem in the p...

<r>Thanks Vivien and Darou for your comments.I've went through the paper suggested by Darou and some of the papers referenced in it. 1. I invested time in algorithms thoroughly cleaning raw implied volatility surface 2. I wanted to stick to SABR for a while as I've already had some stuff implemented...

<t>Hello all,I am currently working on equity derivatives pricing. The biggest issue I encountered up to date is cleaning and parametrizing volatility surfaces. I imply volatilities from exchange traded equity options. Then local volatility model I base on this implied volatility surface blows up fr...