Sensible Sensitivities for the SABR Model
Year of publication: |
2012
|
---|---|
Authors: | Chibane, Messaoud |
Other Persons: | Miao, Hong (contributor) ; Xu, Chenghai (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Sensitivitätsanalyse | Sensitivity analysis |
Extent: | 1 Online-Ressource (26 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 1, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1524074 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Merk, Andreas, (2011)
-
An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume, (2016)
-
Sensitivity analysis of volatility : a new tool for risk management
Manganelli, Simone, (2002)
- More ...
-
Building curves on a good basis
Chibane, Messaoud, (2013)
-
Analytical Option Pricing for Time Dependent Quadratic Local Volatility Models
Chibane, Messaoud, (2012)
-
Building Curves on a Good Basis
Chibane, Messaoud, (2012)
- More ...