Complete Analytical Solution of the SABR Model for Fixed-Income Option Pricing and Value-at-Risk Problems - A Probability Density Function Approach
| Year of publication: |
2016
|
|---|---|
| Authors: | Izmailov, Alexander |
| Other Persons: | Shay, Brian (contributor) |
| Publisher: |
[2016]: [S.l.] : SSRN |
| Subject: | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Optionsgeschäft | Option trading | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process |
| Description of contents: |
The first ever explicit f ...
|
freely available