The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
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 (2026). The SABR Model - Densities and MC (https://se.mathworks.com/matlabcentral/fileexchange/38322-the-sabr-model-densities-and-mc), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Estimate Efficient Portfolios and Frontiers in Help Center and MATLAB Answers
General Information
- Version 1.0.0.0 (12.3 MB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
