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