Series expansion of the SABR joint density (Q4906532)
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scientific article; zbMATH DE number 6139586
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| 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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0.814630925655365
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0.7872750759124756
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0.7782622575759888
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0.7689082622528076
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0.7672079801559448
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