Option Pricing Methods

                                                                                                       Last update on December 26th, 2012
 

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

Click here in order to get more information about the calibration and here to have a description of the Nelder-Mead method.


Enter your parameters
 
Forward Stock price (0,1 for 10%) :
Strike price 1 (0,10 for 10%) :
Market Volatility 1 (0,05 for 5%) :
Strike price 2 :
Market Volatility 2 :
Strike price 3 :
Market Volatility 3 :
Beta (value between 0 and 1) :
Maturity (year) :

Alpha (parameter estimation) :
Sigma (parameter estimation) :
Rho (parameter estimation) :
SABR Implied Volatility (for strike price 1) : %
Relative error (market volatility) : bp
SABR Implied Volatility (for strike price 2) : %
Relative error (market volatility) : bp
SABR Implied Volatility (for strike price 3) : %
Relative error (market volatility) : bp