# Questions tagged [sabr]

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### (C++) Monte Carlo pricer for SABR model to test Hagan / Paulot formulas

I'm trying to test the so-called Hagan formula (p.6 of this paper) and the Paulot formula, order 1 only (eq. (43) p.19 of this paper. For this, i'm trying to use both Euler and Milstein scheme ...
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### SABR vs Dupire: when to use what?

I was wondering for which products one would use the (AF)SABR model and for which ones Dupire's Local Volatility model. If I understand correctly, Dupire is by construction Arbitrage-Free but produces ...
220 views

### The error term of Hagan's approximation of Black's vol in SABR

Hagans approximation of Black's implied vol in SABR is very! difficult to understand fully. But I want to ask in here if anyone can tell me more about the error term. Consider the paper: http://web....
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### Explicit expression for option prices in SABR?

I am trying to get a grip of the current state of research regarding option pricing in the SABR model. Am I correct in that, so far, there is no known general formula for the option price in the SABR ...
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### Simulation scheme for SABR beside the standard Euler discretization

QUESTION: Beside Euler Scheme, is there another more robust (and preferably easy to implement) way to simulate asset path with SABR dynamics? Simulation that will withstand even for high volatilities....
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### SABR: implied vol formulas

I noticed that the approximate implied volatilities in Hagan’s 2002 paper (see B69.a and BC9.c, please refer to the paper for the definition of the parameters): are different from the formulas on ...
189 views

### Checking arbitrage for the SABR model - analytical vs numerical approach

I wish to check if the fitted volatility smile/surface from the SABR model for a fixed time period is arbitrage free. Through my research, I've learnt the following need to be checked: The RND (risk ...
179 views

### SABR for swaptions

We calibrate SABR on each expiry and tenor combination using market data. (e.g. 1mx10y, 3mx10y etc.) Then how about the non-standard expiry like 2.5mx10y? Do I linear interpolate the alpha, beta, rou ...
116 views

### 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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### Should one calibrate SABR model on caps or caplets?

I want to build a volatility surface for caps on a 3M index implied from SABR model. I have a set of cap normal volatilities for a range of strikes (4%, 6%, 8%, 10% and ATM) and maturities (1, 2, 3, 4 ...
63 views

### Does my caplet stripped volatility surface make any sense?

My goal is to build a volatility surface for caps on a 3M index implied from SABR model. I have a set of cap normal volatilities for a range of strikes (4%, 6%, 8%, 10% and ATM) and maturities (1, 2, ...
63 views

### Calculation of SABR delta

I have a relatively simple question on the calculation of the SABR delta. I consider the Bartlett's delta (although my question remains the same for the unadjusted SABR delta from Hagan (2002) ). The ...
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### How to interpolate implied swaption volatilities between maturities for SABR?

I want to interpolate the swaption volatility surface (fixed tenor) in the maturity dimension. I have volatility smiles at times T1 and T2, and would like to get the smile at time T with T1<T<T2 ...