Target volatility option pricing in the lognormal fractional SABR model (Q5234360): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q591979 |
||
| Property / author | |||
| Property / author: Elisa Alòs / rank | |||
Revision as of 21:59, 19 February 2024
scientific article; zbMATH DE number 7110481
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Target volatility option pricing in the lognormal fractional SABR model |
scientific article; zbMATH DE number 7110481 |
Statements
Target volatility option pricing in the lognormal fractional SABR model (English)
0 references
26 September 2019
0 references
lognormal fractional SABR model
0 references
decomposition formula
0 references
target volatility option
0 references
small volatility of volatility approximation
0 references
