Option valuation in multivariate SABR models

Jörg Kienitz and Manuel Wittke

Year of publication:	2010
Authors:	Kienitz, Jörg ; Wittke, Manuel
Publisher:	Sydney : Quantitative Finance Research Centre, School of Finance and Economics, Univ. of Techn.
Subject:	Gyöngy Lemma \| Swap \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory \| Theorie \| Theory

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