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~person:"Chen, Nan"
~subject:"Black-Scholes-Modell"
~subject:"Monte-Carlo-Simulation"
~subject:"USA"
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Chen, Nan
McAleer, Michael
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Journal of economic dynamics & control
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The principle of not feeling the boundary for the SABR model
Chen, Nan
;
Yang, Nian
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 427-436
Persistent link: https://www.econbiz.de/10012194662
Saved in:
2
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
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