SERIES EXPANSION OF THE SABR JOINT DENSITY (Q4906532)
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scientific article; zbMATH DE number 6139586
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SERIES EXPANSION OF THE SABR JOINT DENSITY |
scientific article; zbMATH DE number 6139586 |
Statements
SERIES EXPANSION OF THE SABR JOINT DENSITY (English)
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28 February 2013
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forward smile risk
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SABR stochastic volatility model
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joint transition density
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