mathematics Archives - Sarbojeet Saha https://sarbosaha.com/tag/mathematics/ Independent consultant and entrepreneur Fri, 10 Jun 2022 18:34:47 +0000 en-US hourly 1 https://wordpress.org/?v=6.9 175164789 Understanding the SABR Model for Option Pricing https://sarbosaha.com/understanding-the-sabr-model-for-option-pricing/ https://sarbosaha.com/understanding-the-sabr-model-for-option-pricing/#respond Fri, 10 Jun 2022 16:36:54 +0000 https://sarbosaha.com/?p=879 When pricing options, one must always be careful to model the implied volatility of the instrument appropriately. This is not actually particularly easy, because implied volatility is, by definition, not observable in the market. It is essentially a value that, when you plug it into your pricing model, returns back the actual market value of […]

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