On the approximation of the SABR with mean reversion model : a probabilistic approach
Joanne E. Kennedy & Duy Pham
| Year of publication: |
2014
|
|---|---|
| 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
|
| Subject: | SABR | SABR-MR model | displaced diffusion | stochastic volatility | forward smile | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010500879