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.
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. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!