The survival probability of the SABR model : asymptotics and application
Nian Yang and Xiangwei Wan
| Year of publication: |
2018
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|---|---|
| Authors: | Yang, Nian ; Wan, Xiangwei |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 10, p. 1767-1779
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| Subject: | Implied volatility | SABR model | Probability of hitting zero | Survival probability | Wahrscheinlichkeitsrechnung | Probability theory | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1422083 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012261910