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Questions tagged [sabr-model]

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The Free Boundary SABR: Natural Extension to Negative Rates

In the paper by Antonov, Konikov and Spector An alternative approximation for the SABR model is presented. I'm interested to implement the formula for the ATM swaptions implied volatilities in the ...
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How to find the right Shift for the SABR Model

I'm looking for the right approche to find the right Shift for the SABR Model.
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Proof of no arb condition after shifting SABR’s rho

Does anyone know of any paper or research where they shift SABR’s skew and rebuild the surface? In particular, I would like to prove theoretically whether the no arbitrage condition hold for the ...
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Comparison of various improvements to Hagan's SABR formula?

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