ArbitrageFreeSABR.SABRMaturity
— TypeStructure for the parameters of the SABR model for a given option maturity
ArbitrageFreeSABR.TransformedDensity
— TypeProbability density in the finite difference grid, at a given time, expressed in the transformed coordinate theta
ArbitrageFreeSABR.bachelierFormula
— MethodPrice of a vanilla option under the Bachelier/Normal model
ArbitrageFreeSABR.bachelierVolatility
— MethodImplied volatility of a vanilla option under the Bachelier/Normal model
ArbitrageFreeSABR.blackScholesFormula
— MethodPrice of a vanilla option under the Black-Scholes model
ArbitrageFreeSABR.impliedVolatilityLiSORTS
— MethodImplied volatility of a vanilla option under the Black-Scholes model via Li SOR-TS algorithm