/SABR

In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. I explained the formula of SABR model, then demonstrated how to calibrate SABR model in Python. You are welcome to provide your comments and subscribe to my YouTube channel. https://youtu.be/NWcRD2gOlhA

Primary LanguagePython

SABR

In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. I explained the formula of SABR model, then demonstrated how to calibrate SABR model in Python. You are welcome to provide your comments and subscribe to my YouTube channel. https://youtu.be/NWcRD2gOlhA