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Calibration Of SABR parameters

Remember the SABR( Stochastic alpha beta rho) diffusion system:
dSttStβdWt1
t= μαtdWt2
Where rho is the correlation between the two brownians. dWt1dWt2=ρdt
We are going, in terms of some market values, to estimate α ,μ, ρ that if we put in our diffusion, we obtain this market values
In general the Beta is not estimate, it is easily found in each corresponding markets.

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Copyright : Moulong Armel Rodrigue, 2012

Contact: moulongarmel@yahoo.fr