On the approximation of the SABR model : a probabilistic approach
Year of publication: |
2012
|
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Authors: | Kennedy, Joanne E. ; Mitra, Subhankar ; Pham, Duy |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 19.2012, 5/6, p. 553-586
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Subject: | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
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