A Stochastic Volatility Alternative to SABR (Q5504162)

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scientific article; zbMATH DE number 5495877
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A Stochastic Volatility Alternative to SABR
scientific article; zbMATH DE number 5495877

    Statements

    title
    A Stochastic Volatility Alternative to SABR (English)
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    publication date
    21 January 2009
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    Mathematics Subject Classification ID
    91B70
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    60K99
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    60J70
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    62P05
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    zbMATH DE Number
    5495877
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    zbMATH Keywords
    SABR
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    European option
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    volatility smile
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    OpenAlex ID
    W2015447247
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