The SABR Model - Densities and MC
Version 1.0.0.0 (12.3 MB) by
Kienitz Wetterau FinModelling
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
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 (https://www.mathworks.com/matlabcentral/fileexchange/38322-the-sabr-model-densities-and-mc), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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R2012a
Compatible with any release
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation > Mean-Variance Portfolio Optimization > Estimate Efficient Portfolios and Frontiers >
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Version | Published | Release Notes | |
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1.0.0.0 |