On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach (Q4586316)
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scientific article; zbMATH DE number 6935841
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach |
scientific article; zbMATH DE number 6935841 |
Statements
On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach (English)
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12 September 2018
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SABR
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SABR-MR model
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displaced diffusion
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stochastic volatility
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forward smile
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