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PDE Methods for SABR - MaRDI portal

PDE Methods for SABR (Q4626507)

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scientific article; zbMATH DE number 7030705
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English
PDE Methods for SABR
scientific article; zbMATH DE number 7030705

    Statements

    title
    PDE Methods for SABR (English)
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    author
    J. Kienitz
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    Thomas Andrew McWalter
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    Roelof Sheppard
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    publication date
    28 February 2019
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    zbMATH Keywords
    free boundary SABR model
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    PDE solution
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    European call options
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65M06
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    91G20
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    zbMATH DE Number
    7030705
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    Wikidata QID
    Q59155016
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    OpenAlex ID
    W2754748819
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