The SABR Model - Densities and MC

Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
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 (2024). The SABR Model - Densities and MC (, MATLAB Central File Exchange. Retrieved .

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Created with R2012a
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