Modern SABR Analytics (Q4631571)
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scientific article; zbMATH DE number 7045607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modern SABR Analytics |
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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