On the Approximation of the SABR Model: A Probabilistic Approach (Q5363235)
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scientific article; zbMATH DE number 6786576
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Approximation of the SABR Model: A Probabilistic Approach |
scientific article; zbMATH DE number 6786576 |
Statements
On the Approximation of the SABR Model: A Probabilistic Approach (English)
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5 October 2017
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SABR model
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displaced diffusion
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stochastic volatility
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