Kiann_Options_SABR
收藏RapidAPI2023-03-15 更新2024-05-21 收录
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https://rapidapi.com/kiann/api/kiann_options_sabr
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资源简介：
Options Volatility Model SABR (z-shift). This is an implementation of the 2002 Hagan SABR model, that was originally published in Jan 2002.
There has been various adaptations over the decades, notably the addition of a z-shift to account for extreme low-rates affecting the lower zero-bound condition post-GFC.
There is currently, the closed-form implementation of the lognormal, and normal case. There is also a sabr calibration-fit function, though enabled *** without *** beta fit.
Experien...
创建时间：
2023-03-15
