Finite difference techniques for arbitrage-free SABR
Year of publication: |
February 2017
|
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Authors: | Le Floc'h, Fabien ; Kennedy, Gary |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 3, p. 51-79
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Subject: | stochastic volatility | stochastic alpha beta rho (SABR) | arbutrage | TR-BDF2 | finite difference method | finance | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | CAPM | Portfolio-Management | Portfolio selection |
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