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Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives

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Table 3.3: The absolute maximum percentage difference between implied volatilitiesfrom two different models
Figure 3.1: Comparison of implied Black-Scholes volatilities for European equity op-tions and parameter set 2 in Table 3.1; For the SABR-HW model, Euler Monte Carlowas used with 100.000 paths and 20T intermediate steps.
Table 4.1: Calibrated parameters for the SABR (parameters with hat) and SABR-HW(without hat) models, to 5 and 15 years DAX options.
Figure 4.1: Calibration results for the SABR model with different a priori chosen β pa-rameters to the implied volatilities of 5 and 15 years maturity.
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