Target volatility option pricing in the lognormal fractional SABR model (Q5234360)
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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 |
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Target volatility option pricing in the lognormal fractional SABR model (English)
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26 September 2019
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lognormal fractional SABR model
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decomposition formula
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target volatility option
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small volatility of volatility approximation
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