Approximate arbitrage-free option pricing under the SABR model (Q1655765)

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Approximate arbitrage-free option pricing under the SABR model
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    Statements

    title
    Approximate arbitrage-free option pricing under the SABR model (English)
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    author
    Nian Yang
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    Nan Chen
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    Yanchu Liu
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    Xiangwei Wan
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    publication date
    9 August 2018
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    zbMATH Keywords
    SABR model
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    approximate solution
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    arbitrage-free option pricing
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    perturbation method
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    Identifiers

    zbMATH DE Number
    6915684
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