The SABR Model - Densities and MC

版本 1.0.0.0 (12.3 MB) 作者: Kienitz Wetterau FinModelling
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
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更新时间 2012/9/25

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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 (2025). The SABR Model - Densities and MC (https://ww2.mathworks.cn/matlabcentral/fileexchange/38322-the-sabr-model-densities-and-mc), MATLAB Central File Exchange. 检索时间: .

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Densities_Prices_MC/

版本 已发布 发行说明
1.0.0.0