The SABR Model - Densities and MC

Versione 1.0.0.0 (12,3 MB) da Kienitz Wetterau FinModelling
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
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Aggiornato 25 set 2012

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We consider the well known SABR model. We give formulae for implied vol, densities and Monte Carlo simulation. We also cover no-arbitrage densities for parameter sets where standard formulae break down.
We also cover the recent Doust method and the Kienitz method for density extrapolation.

Cita come

Kienitz Wetterau FinModelling (2024). The SABR Model - Densities and MC (https://www.mathworks.com/matlabcentral/fileexchange/38322-the-sabr-model-densities-and-mc), MATLAB Central File Exchange. Recuperato .

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Densities_Prices_MC/

Versione Pubblicato Note della release
1.0.0.0