Serdar SEN

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

STOCHASTIC ALPHA BETA RHO (SABR), OPTIMIZED METHOD 

This method allows to get the implied volatility thanks to SABR model.
We use formulas froms the Berestycki et al a correction to Hogan et al. Find the reference here.

Enter your parameters

Maturity (year) :
Forward stock price :
Strike price :
Alpha (0,2 for 20%) :
mu (0,4 for 40%) :
Beta (Value between 0 and 1) :
Rho (Value between -1 and 1) :

Implied Volatility :
Black Scholes Call price :
Black Scholes Put price :

If you want to print the volatility smile, please fill the following text box. Otherwise, it will be fill for you.

Kmin (lower bound) :
Kmax (upper bound) :

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