Kennedy, Joanne E.; Mitra, Subhankar; Pham, Duy - In: Applied Mathematical Finance 19 (2012) 6, pp. 553-586
In this article, we derive a probabilistic approximation for three different versions of the SABR model: Normal, Log-Normal and a displaced diffusion version for the general case. Specifically, we focus on capturing the terminal distribution of the underlying process (conditional on the terminal...