Effective Markovian projection: application to CMS spread options and mid-curve swaptions (Q5079407)
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scientific article; zbMATH DE number 7532633
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| English | Effective Markovian projection: application to CMS spread options and mid-curve swaptions |
scientific article; zbMATH DE number 7532633 |
Statements
Effective Markovian projection: application to CMS spread options and mid-curve swaptions (English)
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27 May 2022
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stochastic volatility
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SABR
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ZABR
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Markovian projection
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effective PDE
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approximation formula
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0.8021705746650696
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0.7850062847137451
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0.7739025950431824
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0.7605786919593811
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0.7575085163116455
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