Akahori, Jiro; Song, Xiaoming; Wang, Tai-Ho - In: Risks : open access journal 10 (2022) 8, pp. 1-27
, probability density for such a model is less studied in the literature. We show in this paper a bridge representation for the … joint density of the lognormal fractional SABR model in a Fourier space. Evaluating the bridge representation along a …