Approximate arbitrage-free option pricing under the SABR model
Nian Yang, Nan Chen, Yanchu Liu, Xiangwei Wan
| Year of publication: |
October 2017
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|---|---|
| Authors: | Yang, Nian ; Chen, Nan ; Liu, Yanchu ; Wan, Xiangwei |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 83.2017, p. 198-214
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| Subject: | SABR model | Approximate solution | Arbitrage-free option pricing | Perturbation method | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Arbitrage Pricing | Arbitrage pricing | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2017.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011915586