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SABR Models for Synthetic FX Rates
Hagan, Patrick S.; Lewsniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2021 (2021) 113, pp. 50-61
Persistent link: https://www.econbiz.de/10012633567
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Explicit Pricing of Quadratic Derivatives Under SABR
Hagan, Patrick S.; Lesniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2019 (2019) 103, pp. 40-52
Persistent link: https://www.econbiz.de/10012274288
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Convexity Without Replication
Hagan, Patrick S.; Lesniewski, Andrew S.; Skoufis, … - In: Wilmott 2020 (2020) 105, pp. 58-69
Persistent link: https://www.econbiz.de/10012274312
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Digital Option Valuation With the SABR Model
Hagan, Patrick S.; Lesniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2020 (2020) 107, pp. 52-69
Persistent link: https://www.econbiz.de/10012274335
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Bartlett's Delta in the SABR Model
Hagan, Patrick S.; Lesniewski, Andrew S. - In: Wilmott 2019 (2019) 101, pp. 54-61
Persistent link: https://www.econbiz.de/10012274261
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Implied Volatilities for Mean Reverting SABR Models
Hagan, Patrick S.; Lesniewski, Andrew S.; Woodeard, Diana E. - In: Wilmott 2020 (2020) 108, pp. 62-77
Persistent link: https://www.econbiz.de/10012274348