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- tyskland88
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Creating SDE in Matlab
So I'm trying to create a MC simulation for SABR in Matlab. SABR is defined as The closest thing to SABR in Matlab is In our case, we would haveobj = sdemrd(0, 0, beta, alpha)obj = sdemrd(0, 0, 1, nu)The problem is, how do I define the correlation between W1 and W2? I have already estimated all the parameters alpha, beta, rho and nu so all I have to do is define the SDE and I'm good to go.
Last edited by tyskland88 on October 3rd, 2010, 10:00 pm, edited 1 time in total.
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- tyskland88
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Creating SDE in Matlab
Hi, what exactly do you mean? Do you mean that I can/should create my own SDE and not use a built in one in Matlab? I'm pretty new in dealing with SDE:s so it would be easier to use something built in I would assume.
