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Search: subject:"SABR model"
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ECONIS (ZBW)
164
RePEc
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141
Numerical experiments on hedging cliquet options
Kilin, Fiodar
;
Nalholm, Morten
;
Wystup, Uwe
- In:
Journal of risk
17
(
2014/15
)
1
,
pp. 85-103
Persistent link: https://www.econbiz.de/10010476251
Saved in:
142
Are traders' rules useful for pricing options? : evidence from intraday data
Kim, Sol
- In:
Journal of risk
17
(
2014/15
)
1
,
pp. 63-84
Persistent link: https://www.econbiz.de/10010476252
Saved in:
143
A functional approach to pricing complex barrier options
Mazzoni, Thomas
- In:
The European journal of finance
20
(
2014
)
4/6
,
pp. 399-418
Persistent link: https://www.econbiz.de/10010462022
Saved in:
144
Asymptotic chaos expansions in finance : theory and practice
Nicolay, David
-
2014
Persistent link: https://www.econbiz.de/10013548147
Saved in:
145
The large-maturity smile for the SABR and CEV-Heston models
Forde, Martin
;
Pogudin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010243621
Saved in:
146
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
147
Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Amin, Ahsan
- In:
Interest rate modelling after the financial crisis
,
(pp. 369-391)
.
2013
Persistent link: https://www.econbiz.de/10011457001
Saved in:
148
Parsimonious multi-curve HJM modelling with stochastic volatility
Moreni, Nicola
;
Pallavicini, Andrea
- In:
Interest rate modelling after the financial crisis
,
(pp. 393-415)
.
2013
Persistent link: https://www.econbiz.de/10011457026
Saved in:
149
THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS
FORDE, MARTIN
;
POGUDIN, ANDREY
- In:
International Journal of Theoretical and Applied …
16
(
2013
)
08
,
pp. 1350047-1
Large-time asymptotics are established for the
SABR
model
with β = 1, ρ ≤ 0 and β < 1, ρ = 0. We also compute large …
Persistent link: https://www.econbiz.de/10011011289
Saved in:
150
Interest rate modelling after the financial crisis
Bianchetti, Marco
(
ed.
);
Morini, Massimo
(
ed.
)
-
2013
Persistent link: https://www.econbiz.de/10013553126
Saved in:
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