Pages that link to "Item:Q1655765"
From MaRDI portal
The following pages link to Approximate arbitrage-free option pricing under the SABR model (Q1655765):
Displaying 4 items.
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
