Derivation of SABR model implied volatilities and comparison of the model with Monte-Carlo Simulation for European options pricing.
All utility scripts are mandatory. Images should be kept in the same folder as the notebook. All necessary modules should be installed using the command line "pip install -r requirements.txt" in a terminal opened in the same folder.
This notebook has been designed for use on Jupyter Notebook only. Here is the link for opening the notebook in Google Colab, for those who want to visualise it online :
The Latex rendering on markdown cells can also depends on the visualiser. For example, VSCode does not support HTML tags and might not render some Latex equations. One must remove the HTML tags to render the Latex equations correctly.