On the approximation of the SABR model : a probabilistic approach

Joanne E. Kennedy, Subhankar Mitra & Duy Pham

Year of publication:	2012
Authors:	Kennedy, Joanne E. ; Mitra, Subhankar ; Pham, Duy
Published in:	Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 19.2012, 5/6, p. 553-586
Subject:	Theorie \| Theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Stochastischer Prozess \| Stochastic process

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