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- Kerkabanac
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SABR density case Beta = 1
Hello, Has anyone implemented SABR density when Beta = 1. ?some solutions:- I'm inclined to go with Paulot's approx up to order 1 and integrate this.- Alan Lewis has a neat solution but it's a bit computationally intense (looking forward to his second book though).- Labordere too has an exact solution, but we're talking double integrals and a lot of rad' stuff...I'm keen to have anyone who has some concrete implementation experience's feedback.K.
SABR density case Beta = 1
K,Thanks for the book plug. Here is a table from it, perhaps of some use:
Last edited by Alan on April 5th, 2013, 10:00 pm, edited 1 time in total.