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The SABR Model - Densities and MC

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The SABR Model - Densities and MC

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Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method

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Description

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.

MATLAB release MATLAB 7.14 (R2012a)
Other requirements Testing started with R2008b
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Comments and Ratings (1)
06 Oct 2013 Roman Nekrasov

The best!

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