So I'm trying to create a MC simulation for SABR in Matlab.
SABR is defined as
The closest thing to SABR in Matlab is
In our case, we would have
obj = sdemrd(0, 0, beta, alpha)
obj = sdemrd(0, 0, 1, nu)
The problem is, how do I define the correlation between W1 and W2? I have already estimated all the parameters alpha, beta, rho and nu so all I have to do is define the SDE and I'm good to go.
SABR is defined as

The closest thing to SABR in Matlab is

In our case, we would have
obj = sdemrd(0, 0, beta, alpha)
obj = sdemrd(0, 0, 1, nu)
The problem is, how do I define the correlation between W1 and W2? I have already estimated all the parameters alpha, beta, rho and nu so all I have to do is define the SDE and I'm good to go.