Serdar SEN

                                                                    Mathematical and Financial Engineer                                                                            Tel: +336 17 95 70 65 | Mail: senserdar87@gmail.com

Calibration of the SABR model (with Nelder-Mead's optimization algorithm)

We are going, in terms of some market values, to estimate α ,μ, ρ that if we put in our diffusion, we obtain this market values In general the Beta is not estimate, it is easily found in each corresponding markets.

Enter your parameters

Maturity (year) :
Forward stock price (0,1 for 10%) :
Strike price 1 (0,10 for 10%) :
Market Volatility 1 (0,2 for 20%) :
Strike Price 2 :
Market Volatility 2 (0,2 for 20%) :
Strike Price 3 :
Market Volatility 3 (0,2 for 20%) :
Beta (Value between 0 and 1) :
Mu :
Alpha :
Rho :
SABR implied volatility (for strike price 1) :
Relative error between the Market and SABR volatility :
SABR implied volatility (for strike price 2) :
Relative error between the Market and SABR volatility :
SABR implied volatility (for strike price 3) :
Relative error between the Market and SABR volatility :

Web hosting by Somee.com