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ZABR Stochastic Volatility Smile Modelling

version 1.0.0.0 (3.33 KB) by Kienitz Wetterau FinModelling
This is a toy implementation of the ZABR Model from Andreasen and Huge

720 Downloads

Updated 29 Mar 2015

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In this file we illustrate the examples from the Andreasen/Huge paper "ZABR - Expansion for the masses". We reproduce the figures and show an implementation of the model using the techniques of the paper.

Cite As

Kienitz Wetterau FinModelling (2021). ZABR Stochastic Volatility Smile Modelling (https://www.mathworks.com/matlabcentral/fileexchange/50328-zabr-stochastic-volatility-smile-modelling), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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