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sabr_fit_sp500_short.txt
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Method Strike Volatility
Reference 713.095 0.5227499999999999
Reference 784.4045000000001 0.52558
Reference 855.714 0.52671
Reference 927.0235 0.52048
Reference 998.333 0.49520000000000003
Reference 1069.6425 0.43748
Reference 1140.952 0.36927
Reference 1212.2615 0.31718
Reference 1283.5710000000001 0.27681
Reference 1354.8805 0.22624
Reference 1426.19 0.16268999999999997
Reference 1497.4995000000001 0.13499
Reference 1568.8090000000002 0.16161
Reference 1640.1185 0.19118
Reference 1711.428 0.22267
Reference 1782.7375000000002 0.24728999999999998
Reference 1854.047 0.26875
Reference 1925.3565 0.28764
Reference 1996.666 0.30498000000000003
Reference 2067.9755 0.32127
Reference 2139.285 0.33658
Parabola 713.095 4.0052114961549945
Parabola 727.3569 3.806008666402627
Parabola 741.6188000000001 3.615781757228148
Parabola 755.8807 3.434092426132744
Parabola 770.1426 3.260530483037376
Parabola 784.4045 3.094711629024594
Parabola 798.6664000000001 2.9362754127432615
Parabola 812.9283 2.784883380136561
Parabola 827.1902 2.640217396243555
Parabola 841.4521 2.5019781204771157
Parabola 855.7139999999999 2.3698836190637893
Parabola 869.9759 2.243668100301431
Parabola 884.2378 2.123080759994901
Parabola 898.4997 2.0078847259084687
Parabola 912.7616 1.8978560913588287
Parabola 927.0235 1.7927830291925009
Parabola 941.2854 1.692464978369434
Parabola 955.5473 1.596711896230552
Parabola 969.8092 1.5053435702776752
Parabola 984.0711 1.4181889839538706
Parabola 998.333 1.3350857314931392
Parabola 1012.5949 1.2558794774207482
Parabola 1026.8568 1.1804234567383032
Parabola 1041.1187 1.108578012228638
Parabola 1055.3806 1.0402101656711404
Parabola 1069.6425 0.9751932200740606
Parabola 1083.9044 0.9134063903114212
Parabola 1098.1662999999999 0.8547344598027269
Parabola 1112.4281999999998 0.7990674610972672
Parabola 1126.6901 0.746300378424778
Parabola 1140.952 0.6963328704532346
Parabola 1155.2139 0.6490690116549932
Parabola 1169.4758 0.604417050826681
Parabola 1183.7377000000001 0.562289185437699
Parabola 1197.9995999999999 0.5226013505988969
Parabola 1212.2615 0.48527302154806534
Parabola 1226.5234 0.4502270286438162
Parabola 1240.7853 0.41738938394511826
Parabola 1255.0472 0.3866891185313726
Parabola 1269.3091 0.3580581297881495
Parabola 1283.571 0.3314310379474407
Parabola 1297.8328999999999 0.3067450512291264
Parabola 1312.0947999999999 0.28393983898292324
Parabola 1326.3566999999998 0.2629574122779173
Parabola 1340.6186 0.24374201143034543
Parabola 1354.8805 0.22624
Parabola 1369.1424 0.21039976482187497
Parabola 1383.4043 0.19617162167278276
Parabola 1397.6662000000001 0.18350772620293304
Parabola 1411.9281 0.17236198979017905
Parabola 1426.1899999999998 0.16269000000000008
Parabola 1440.4519 0.15444894535757434
Parabola 1454.7138 0.14759754415963305
Parabola 1468.9757 0.14209597707340293
Parabola 1483.2376 0.13790582328797288
Parabola 1497.4995 0.13499000000000005
Parabola 1511.7613999999999 0.13331270503094378
Parabola 1526.0232999999998 0.13283936238708163
Parabola 1540.2851999999998 0.13353657058654134
Parabola 1554.5471 0.1353720535895529
Parabola 1568.809 0.1383146141791864
Parabola 1583.0709 0.14233408965006164
Parabola 1597.3328 0.14740130967196918
Parabola 1611.5946999999999 0.1534880562040932
Parabola 1625.8566 0.16056702534363065
Parabola 1640.1185 0.1686117910001127
Parabola 1654.3804 0.17759677029370086
Parabola 1668.6423 0.18749719058219722
Parabola 1682.9042 0.19828905802751007
Parabola 1697.1661 0.20994912761789883
Parabola 1711.4279999999999 0.2224548745675072
Parabola 1725.6898999999999 0.23578446701952438
Parabola 1739.9518 0.24991673998380592
Parabola 1754.2136999999998 0.26483117044396715
Parabola 1768.4755999999998 0.28050785357288144
Parabola 1782.7375 0.29692747999912644
Parabola 1796.9994 0.3140713140703445
Parabola 1811.2613 0.33192117306263913
Parabola 1825.5231999999999 0.35045940728809155
Parabola 1839.7850999999998 0.369668881055251
Parabola 1854.0469999999998 0.3895329544400468
Parabola 1868.3088999999998 0.4100354658269815
Parabola 1882.5708 0.4311607151827399
Parabola 1896.8327 0.45289344802646714
Parabola 1911.0946 0.4752188400629638
Parabola 1925.3564999999999 0.4981224824469056
Parabola 1939.6183999999998 0.521590367647948
Parabola 1953.8802999999998 0.545608875888221
Parabola 1968.1422 0.5701647621252536
Parabola 1982.4041 0.595245143554821
Parabola 1996.666 0.6208374876095676
Parabola 2010.9279 0.6469296004305342
Parabola 2025.1897999999999 0.6735096157899281
Parabola 2039.4516999999998 0.7005659844445954
Parabola 2053.7136 0.7280874639007349
Parabola 2067.9755 0.7560631085713823
Parabola 2082.2374 0.7844822603091496
Parabola 2096.4993 0.8133345392975907
Parabola 2110.7612 0.8426098352854023
Parabola 2125.0230999999994 0.8722982991484672
Parabola 2139.285 0.9023903347654995
Explicit 713.095 0.7916044966581609
Explicit 727.3569 0.776263926491893
Explicit 741.6188000000001 0.7611389050670735
Explicit 755.8807 0.7462198591622538
Explicit 770.1426 0.7314976775242187
Explicit 784.4045 0.7169636733643282
Explicit 798.6664000000001 0.7026095499100793
Explicit 812.9283 0.688427368663798
Explicit 827.1902 0.6744095200602103
Explicit 841.4521 0.6605486962489107
Explicit 855.7139999999999 0.6468378657572876
Explicit 869.9759 0.6332702498149996
Explicit 884.2378 0.6198393001432865
Explicit 898.4997 0.6065386780317539
Explicit 912.7616 0.5933622345423437
Explicit 927.0235 0.5803039916954589
Explicit 941.2854 0.5673581245071355
Explicit 955.5473 0.5545189437592855
Explicit 969.8092 0.5417808793979486
Explicit 984.0711 0.5291384644679322
Explicit 998.333 0.5165863195070851
Explicit 1012.5949 0.5041191373409663
Explicit 1026.8568 0.49173166824049164
Explicit 1041.1187 0.47941870543353593
Explicit 1055.3806 0.46717507099967975
Explicit 1069.6425 0.45499560222993
Explicit 1083.9044 0.4428751386069164
Explicit 1098.1662999999999 0.4308085096655096
Explicit 1112.4281999999998 0.4187905241431911
Explicit 1126.6901 0.4068159610450069
Explicit 1140.952 0.39487956356122894
Explicit 1155.2139 0.3829760372349589
Explicit 1169.4758 0.37110005445546496
Explicit 1183.7377000000001 0.359246268365181
Explicit 1197.9995999999999 0.3474093407932786
Explicit 1212.2615 0.3355839911518507
Explicit 1226.5234 0.32376507681243805
Explicit 1240.7853 0.31194772107486207
Explicit 1255.0472 0.30012751370070856
Explicit 1269.3091 0.2883008232259375
Explicit 1283.571 0.27646528351447747
Explicit 1297.8328999999999 0.2646205555539841
Explicit 1312.0947999999999 0.25276953033794514
Explicit 1326.3566999999998 0.24092024915529026
Explicit 1340.6186 0.22908900722253606
Explicit 1354.8805 0.21730543079465445
Explicit 1369.1424 0.2056208568003458
Explicit 1383.4043 0.19412216448780317
Explicit 1397.6662000000001 0.18295414540750585
Explicit 1411.9281 0.17235330895511106
Explicit 1426.1899999999998 0.16268999999999986
Explicit 1440.4519 0.15449271182471547
Explicit 1454.7138 0.14838383478882536
Explicit 1468.9757 0.14485633851299468
Explicit 1483.2376 0.14399970862411118
Explicit 1497.4995 0.14545991221872664
Explicit 1511.7613999999999 0.14867126275767034
Explicit 1526.0232999999998 0.15309565909677642
Explicit 1540.2851999999998 0.15832097907161588
Explicit 1554.5471 0.16406078927079587
Explicit 1568.809 0.17012337205802014
Explicit 1583.0709 0.1763815029942222
Explicit 1597.3328 0.18275036608651357
Explicit 1611.5946999999999 0.18917287212045295
Explicit 1625.8566 0.19561019412476094
Explicit 1640.1185 0.20203569046288616
Explicit 1654.3804 0.20843097156177062
Explicit 1668.6423 0.21478331988619728
Explicit 1682.9042 0.22108397132681679
Explicit 1697.1661 0.22732695220073368
Explicit 1711.4279999999999 0.2335082801041366
Explicit 1725.6898999999999 0.23962540680892314
Explicit 1739.9518 0.24567682467852509
Explicit 1754.2136999999998 0.2516617851986344
Explicit 1768.4755999999998 0.2575800954567433
Explicit 1782.7375 0.26343196952561043
Explicit 1796.9994 0.26921791898793684
Explicit 1811.2613 0.2749386716771633
Explicit 1825.5231999999999 0.28059511096781303
Explicit 1839.7850999999998 0.28618823017273637
Explicit 1854.0469999999998 0.2917190981414919
Explicit 1868.3088999999998 0.2971888332286061
Explicit 1882.5708 0.3025985835601846
Explicit 1896.8327 0.30794951206992827
Explicit 1911.0946 0.3132427851669697
Explicit 1925.3564999999999 0.31847956418295065
Explicit 1939.6183999999998 0.32366099895467526
Explicit 1953.8802999999998 0.3287882230536751
Explicit 1968.1422 0.3338623502891741
Explicit 1982.4041 0.3388844721977148
Explicit 1996.666 0.343855656298089
Explicit 2010.9279 0.3487769449400129
Explicit 2025.1897999999999 0.35364935461306496
Explicit 2039.4516999999998 0.3584738756116059
Explicit 2053.7136 0.3632514719740948
Explicit 2067.9755 0.36798308163267246
Explicit 2082.2374 0.3726696167226056
Explicit 2096.4993 0.3773119640119421
Explicit 2110.7612 0.38191098541991486
Explicit 2125.0230999999994 0.3864675185996357
Explicit 2139.285 0.39098237756537
Levenberg-Marquardt 713.095 0.744763569510066
Levenberg-Marquardt 727.3569 0.7306778885104875
Levenberg-Marquardt 741.6188000000001 0.7167889904150098
Levenberg-Marquardt 755.8807 0.7030881316658577
Levenberg-Marquardt 770.1426 0.6895669913330627
Levenberg-Marquardt 784.4045 0.6762176369577185
Levenberg-Marquardt 798.6664000000001 0.6630324931955389
Levenberg-Marquardt 812.9283 0.650004312944499
Levenberg-Marquardt 827.1902 0.6371261506769651
Levenberg-Marquardt 841.4521 0.6243913377282543
Levenberg-Marquardt 855.7139999999999 0.6117934593208322
Levenberg-Marquardt 869.9759 0.5993263331270381
Levenberg-Marquardt 884.2378 0.5869839891938897
Levenberg-Marquardt 898.4997 0.5747606510716734
Levenberg-Marquardt 912.7616 0.5626507180041785
Levenberg-Marquardt 927.0235 0.5506487480529959
Levenberg-Marquardt 941.2854 0.538749442041757
Levenberg-Marquardt 955.5473 0.526947628219022
Levenberg-Marquardt 969.8092 0.5152382475512529
Levenberg-Marquardt 984.0711 0.5036163395706452
Levenberg-Marquardt 998.333 0.4920770287172886
Levenberg-Marquardt 1012.5949 0.4806155111323288
Levenberg-Marquardt 1026.8568 0.4692270418798959
Levenberg-Marquardt 1041.1187 0.4579069226025196
Levenberg-Marquardt 1055.3806 0.4466504896503181
Levenberg-Marquardt 1069.6425 0.43545310277221416
Levenberg-Marquardt 1083.9044 0.4243101345232725
Levenberg-Marquardt 1098.1662999999999 0.41321696063376173
Levenberg-Marquardt 1112.4281999999998 0.4021689517140269
Levenberg-Marquardt 1126.6901 0.39116146685124853
Levenberg-Marquardt 1140.952 0.3801898499140277
Levenberg-Marquardt 1155.2139 0.3692494297548023
Levenberg-Marquardt 1169.4758 0.3583355260430162
Levenberg-Marquardt 1183.7377000000001 0.3474434632568631
Levenberg-Marquardt 1197.9995999999999 0.33656859653623017
Levenberg-Marquardt 1212.2615 0.3257063548532574
Levenberg-Marquardt 1226.5234 0.3148523096034726
Levenberg-Marquardt 1240.7853 0.30400228076031466
Levenberg-Marquardt 1255.0472 0.2931524989780255
Levenberg-Marquardt 1269.3091 0.2822998517955362
Levenberg-Marquardt 1283.571 0.27144225757635676
Levenberg-Marquardt 1297.8328999999999 0.26057923567150515
Levenberg-Marquardt 1312.0947999999999 0.2497127816466002
Levenberg-Marquardt 1326.3566999999998 0.23884872252758027
Levenberg-Marquardt 1340.6186 0.2279988357260401
Levenberg-Marquardt 1354.8805 0.21718419279409412
Levenberg-Marquardt 1369.1424 0.20644047066155363
Levenberg-Marquardt 1383.4043 0.19582638518344916
Levenberg-Marquardt 1397.6662000000001 0.18543687894943367
Levenberg-Marquardt 1411.9281 0.17542278739749945
Levenberg-Marquardt 1426.1899999999998 0.16601678519016105
Levenberg-Marquardt 1440.4519 0.15755735984479224
Levenberg-Marquardt 1454.7138 0.15048327026309088
Levenberg-Marquardt 1468.9757 0.14525119739748144
Levenberg-Marquardt 1483.2376 0.14216453793755843
Levenberg-Marquardt 1497.4995 0.14122245359739322
Levenberg-Marquardt 1511.7613999999999 0.1421368513668473
Levenberg-Marquardt 1526.0232999999998 0.1444900380678137
Levenberg-Marquardt 1540.2851999999998 0.1478816334521792
Levenberg-Marquardt 1554.5471 0.15199302309503282
Levenberg-Marquardt 1568.809 0.1565922415933788
Levenberg-Marquardt 1583.0709 0.16151677845971352
Levenberg-Marquardt 1597.3328 0.16665415041585632
Levenberg-Marquardt 1611.5946999999999 0.17192641950843682
Levenberg-Marquardt 1625.8566 0.17727920456859153
Levenberg-Marquardt 1640.1185 0.18267421589685937
Levenberg-Marquardt 1654.3804 0.18808425025531977
Levenberg-Marquardt 1668.6423 0.19348983134156117
Levenberg-Marquardt 1682.9042 0.19887693617875596
Levenberg-Marquardt 1697.1661 0.20423543862020388
Levenberg-Marquardt 1711.4279999999999 0.20955803003032508
Levenberg-Marquardt 1725.6898999999999 0.21483946099017645
Levenberg-Marquardt 1739.9518 0.2200760016884212
Levenberg-Marquardt 1754.2136999999998 0.2252650532263864
Levenberg-Marquardt 1768.4755999999998 0.23040486441640493
Levenberg-Marquardt 1782.7375 0.23549432324648767
Levenberg-Marquardt 1796.9994 0.24053280182322703
Levenberg-Marquardt 1811.2613 0.24552004004878475
Levenberg-Marquardt 1825.5231999999999 0.2504560576491789
Levenberg-Marquardt 1839.7850999999998 0.2553410871588657
Levenberg-Marquardt 1854.0469999999998 0.2601755225376129
Levenberg-Marquardt 1868.3088999999998 0.2649598795476052
Levenberg-Marquardt 1882.5708 0.2696947650475512
Levenberg-Marquardt 1896.8327 0.27438085309724725
Levenberg-Marquardt 1911.0946 0.2790188662986103
Levenberg-Marquardt 1925.3564999999999 0.28360956118777664
Levenberg-Marquardt 1939.6183999999998 0.2881537167789112
Levenberg-Marquardt 1953.8802999999998 0.292652125572603
Levenberg-Marquardt 1968.1422 0.29710558650049873
Levenberg-Marquardt 1982.4041 0.3015148993974193
Levenberg-Marquardt 1996.666 0.3058808606829296
Levenberg-Marquardt 2010.9279 0.31020426000365314
Levenberg-Marquardt 2025.1897999999999 0.31448587764082875
Levenberg-Marquardt 2039.4516999999998 0.318726482528761
Levenberg-Marquardt 2053.7136 0.32292683076178835
Levenberg-Marquardt 2067.9755 0.32708766449233245
Levenberg-Marquardt 2082.2374 0.3312097111422627
Levenberg-Marquardt 2096.4993 0.3352936828651875
Levenberg-Marquardt 2110.7612 0.339340276209557
Levenberg-Marquardt 2125.0230999999994 0.3433501719422185
Levenberg-Marquardt 2139.285 0.34732403499975395