Effective stochastic volatility: applications to ZABR-type models (Q5014218)
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scientific article; zbMATH DE number 7436803
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effective stochastic volatility: applications to ZABR-type models |
scientific article; zbMATH DE number 7436803 |
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Effective stochastic volatility: applications to ZABR-type models (English)
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1 December 2021
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stochastic volatility
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SABR
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ZABR
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free boundary ZABR
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mean-reverting ZABR
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effective PDE
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approximation formula
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