The SABR Model - Densities and MC

Version 1.0.0.0 (12,3 MB) von Kienitz Wetterau FinModelling
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
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Aktualisiert 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.

Zitieren als

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. Abgerufen.

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Erstellt mit R2012a
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Densities_Prices_MC/

Version Veröffentlicht Versionshinweise
1.0.0.0