Approximate arbitrage-free option pricing under the SABR model (Q1655765)
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scientific article; zbMATH DE number 6915684
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximate arbitrage-free option pricing under the SABR model |
scientific article; zbMATH DE number 6915684 |
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Approximate arbitrage-free option pricing under the SABR model (English)
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9 August 2018
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SABR model
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approximate solution
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arbitrage-free option pricing
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perturbation method
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