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OptionsVolatilitySABRPythonDerivatives
Volatility Surface Modeling & Options Pricing
Implemented SABR and SVI volatility surface calibration for options pricing, with application to exotic derivatives valuation and volatility arbitrage strategies.
0.12%
RMSE (Calibration)
0.08%
Mean Abs Error
Yes
Arbitrage-Free
<1ms
Pricing Speed
99.2%
Greeks Accuracy
C²
Surface Smoothness
# Methodology
Calibrated SABR model parameters using market implied volatilities. Developed arbitrage-free interpolation using SVI parameterization and implemented Greeks calculation for risk management.
Core Model
# Data Source
CBOE Options data via OptionMetrics (2020-2024)