Modern SABR analytics. Formulas and insights for quants, former physicists and mathematicians (Q4631571)
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scientific article; zbMATH DE number 7045607
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| English | Modern SABR analytics. Formulas and insights for quants, former physicists and mathematicians |
scientific article; zbMATH DE number 7045607 |
Statements
Modern SABR Analytics (English)
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10 April 2019
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SABR model
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CEV process
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option pricing
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exact integral representations
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CEV-CIR model
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exactly solvable models
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heat-kernel expansions
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asymptotic properties
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negative rates
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0.8403211236000061
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0.8115231990814209
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0.8076476454734802
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0.8020867705345154
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0.7924323081970215
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