On the approximation of the SABR with mean reversion model : a probabilistic approach
Year of publication: |
2014
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Authors: | Kennedy, Joanne E. ; Pham, Duy |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 5/6, p. 451-481
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Subject: | SABR | SABR-MR model | displaced diffusion | stochastic volatility | forward smile | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | Wahrscheinlichkeitsrechnung | Probability theory |
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