CHEN, BIN; OOSTERLEE, CORNELIS W.; WEEREN, SACHA VAN - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1019-1046
We consider the convexity correction in a multi-factor SABR type stochastic volatility model, in which the volatility … and the short-term forward rate are modeled as independent factors. In general, the convexity correction is not …
