Effective Markovian projection: application to CMS spread options and mid-curve swaptions (Q5079407)
From MaRDI portal
scientific article; zbMATH DE number 7532633
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effective Markovian projection: application to CMS spread options and mid-curve swaptions |
scientific article; zbMATH DE number 7532633 |
Statements
Effective Markovian projection: application to CMS spread options and mid-curve swaptions (English)
0 references
27 May 2022
0 references
stochastic volatility
0 references
SABR
0 references
ZABR
0 references
Markovian projection
0 references
effective PDE
0 references
approximation formula
0 references
0 references
0 references
