Tuesday, April 19, 2016

black scholes - Calibrate a SABR model?


How do you calibrate a SABR model using R/Python/Matlab?


Using the data example from: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2725485



1) How does one calibrate the SABR model?


2) How to output and interpret alpha, beta, and rho?


3) How does one interpret the results output?




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