Generalized uncorrelated SABR models with a high degree of symmetry
Year of publication: |
2010
|
---|---|
Authors: | Wang, Tai-Ho ; Laurence, Peter ; Wang, Sheng-Li |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 6, p. 663-679
|
Publisher: |
Taylor & Francis Journals |
Subject: | Non-Gaussian option pricing | Derivative pricing models | Stochastic volatility | Partial differential equations |
-
Pseudospectral methods for pricing options
Suh, Sangwon, (2009)
-
A multivariate Levy process model with linear correlation
Kawai, Reiichiro, (2009)
-
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik, (2016)
- More ...
-
Closed form solutions for quadratic and inverse quadratic term structure models
Laurence, Peter, (2005)
-
Asymptotics of implied volatility in local volatility models
Gatheral, Jim, (2012)
-
Laurence, Peter, (2009)
- More ...