A Stochastic Volatility Alternative to SABR (Q5504162)
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scientific article; zbMATH DE number 5495877
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A Stochastic Volatility Alternative to SABR |
scientific article; zbMATH DE number 5495877 |
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A Stochastic Volatility Alternative to SABR (English)
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21 January 2009
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SABR
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European option
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volatility smile
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0.8976741
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0.8967778
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