New answers tagged sabr
0
votes
Bumping forward rates in Quantlib for Bartlett SABR greeks
I believe I managed to find a workaround for this issue:
Use parallel shifts of the input rate curve, with the shifts being the Bartlett adjustment factor $\frac{\rho F^\beta}{\nu}\epsilon$ (for ...
- 1,231
0
votes
Change of expansion point for singular perturbation solution in Equivalent Black Volatilities
I hadn't struggled long enough -- all that's happening is we write $K = f_{av} + \frac{K-f}{2}$ and replace $A(K)$ and its derivatives by the Taylor expansion $A(f_{av}) + \frac{K-f}{2}A'(f_{av})+\...
- 101
0
votes
Simulation scheme for SABR beside the standard Euler discretization
It is likely that the price from simulation (5.5637) is correct value of the SABR model. Hagan's formula is just an approximation that deviates from the true value when vol-of-vol is big.
- 1,143
Top 50 recent answers are included