Approximate Arbitrage-Free Option Pricing Under the SABR Model
Year of publication: |
2017
|
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Authors: | Yang, Nian |
Other Persons: | Chen, Nan (contributor) ; Liu, Yanchu (contributor) ; Wan, Xiangwei (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (22 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Economic Dynamics and Control, Vol. 83, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 19, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2854797 [DOI] |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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