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Modern SABR Analytics (Q4631571)

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scientific article; zbMATH DE number 7045607
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English
Modern SABR Analytics
scientific article; zbMATH DE number 7045607

    Statements

    title
    Modern SABR Analytics (English)
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    author
    Alexandre Antonov
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    Mikhail Konikov
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    Michael Spector
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    publication date
    10 April 2019
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    zbMATH Keywords
    SABR model
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    CEV process
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    option pricing
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    exact integral representations
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    CEV-CIR model
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    exactly solvable models
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    heat-kernel expansions
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    asymptotic properties
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    negative rates
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    Identifiers

    Mathematics Subject Classification ID
    91-02
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    91G20
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    35Q91
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    62P05
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    zbMATH DE Number
    7045607
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    OpenAlex ID
    W4244982869
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