1
$\begingroup$

There has been several papers improving the original Hagan's approximation formula (see this answer) to SABR model. At least, I know three below:

Is there any research comparing the accuracy of them? I assume that the error can be measured from the option value solved with finite difference method?

Also, is there finite difference implementation openly available?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.