The SABR Model - Densities and MC

Versión 1.0.0.0 (12,3 MB) por Kienitz Wetterau FinModelling
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
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Actualizado 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.

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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. Recuperado .

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Densities_Prices_MC/

Versión Publicado Notas de la versión
1.0.0.0