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Hagan, Patrick S.
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Lesniewski, Andrew S.
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Convexity Without Replication
Hagan, Patrick S.
;
Lesniewski, Andrew S.
;
Skoufis, …
- In:
Wilmott
2020
(
2020
)
105
,
pp. 58-69
Persistent link: https://www.econbiz.de/10012274312
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2
Digital Option Valuation With the SABR Model
Hagan, Patrick S.
;
Lesniewski, Andrew S.
;
Skoufis, G. E.
; …
- In:
Wilmott
2020
(
2020
)
107
,
pp. 52-69
Persistent link: https://www.econbiz.de/10012274335
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3
Implied Volatilities for Mean Reverting SABR Models
Hagan, Patrick S.
;
Lesniewski, Andrew S.
;
Woodeard, Diana E.
- In:
Wilmott
2020
(
2020
)
108
,
pp. 62-77
Persistent link: https://www.econbiz.de/10012274348
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4
Bartlett's Delta in the SABR Model
Hagan, Patrick S.
;
Lesniewski, Andrew S.
- In:
Wilmott
2019
(
2019
)
101
,
pp. 54-61
Persistent link: https://www.econbiz.de/10012274261
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5
Explicit Pricing of Quadratic Derivatives Under SABR
Hagan, Patrick S.
;
Lesniewski, Andrew S.
;
Skoufis, G. E.
; …
- In:
Wilmott
2019
(
2019
)
103
,
pp. 40-52
Persistent link: https://www.econbiz.de/10012274288
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