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Wellwn
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Posts: 21
Joined: June 2nd, 2014, 6:58 am

Free Boundary SABR

August 25th, 2016, 9:27 pm

Hi,
has anybody tried to implement the solution proposed by Antonov et al. in their paper to come up with a solution for the negative rates?

These are the papers I'm talking about:
http://papers.ssrn.com/sol3/papers.cfm? ... id=2557046
http://papers.ssrn.com/sol3/papers.cfm? ... id=2653682

I'm trying to do it and I'm having some troubles, I will like to share my difficulties...
 
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Lapsilago
Posts: 259
Joined: October 15th, 2004, 7:36 am
Location: Germany

Re: Free Boundary SABR

September 19th, 2016, 4:52 pm

Hi Wellwn,

I have implemented the integral solution and a PDE solver for evolving the density starting from a dirac delta using Fokker-Planck. Where are your difficulties...

Best, Lapsi
 
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Wellwn
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Posts: 21
Joined: June 2nd, 2014, 6:58 am

Re: Free Boundary SABR

September 19th, 2016, 8:51 pm

Thank you Lapsi,
no more big problems with the implementation (exept the error I get with strikes zero and atm... to your knowledge I'm using matlab).
My next step is to implement the Monte Carlo simulation (not described in the articles).

Thanks again for your interest,
Wellwn
 
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Wellwn
Topic Author
Posts: 21
Joined: June 2nd, 2014, 6:58 am

Re: Free Boundary SABR

October 2nd, 2016, 10:03 am

Hey Lapsi (or evetyone is reading this...)

did you try to implement the Monte Carlo method cited by Antonov in his papers?

Wellwn
 
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Lapsilago
Posts: 259
Joined: October 15th, 2004, 7:36 am
Location: Germany

Re: Free Boundary SABR

October 6th, 2016, 7:25 am

Hi Wellwn,
no i did not but have a look at Roger Lords site... He did a lot on MC for SABR.
But if you would like I can have look...
Ciao Jörg
 
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Wellwn
Topic Author
Posts: 21
Joined: June 2nd, 2014, 6:58 am

Re: Free Boundary SABR

October 9th, 2016, 12:41 pm

I will take a look, however Roger Lords uses a different approach.
What is strange in Antonov papaer is the absence of the correlation in the calucaltion of the mean and variance of the SABR process... or am I wrong?

Thanks
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