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The SABR Model - Densities and MC

version 1.0.0.0 (12.3 MB) by Kienitz Wetterau FinModelling
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method

2.2K Downloads

Updated 25 Sep 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.

Cite As

Kienitz Wetterau FinModelling (2021). The SABR Model - Densities and MC (https://www.mathworks.com/matlabcentral/fileexchange/38322-the-sabr-model-densities-and-mc), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Densities_Prices_MC/