Approximate arbitrage-free option pricing under the SABR model
type: Item
instance of: scholarly article
title: Approximate arbitrage-free option pricing under the SABR model
zbMATH Open document ID: 1401.91538
author: Nian Yang
author: Nan Chen
author: Yanchu Liu
author: Xiangwei Wan
publication date: 2018-08-09T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6915684
zbMATH Keywords: SABR model
zbMATH Keywords: approximate solution
zbMATH Keywords: arbitrage-free option pricing
zbMATH Keywords: perturbation method
describes a project that uses: AS 275
MaRDI profile type: Publication
full work available at URL: j.jedc.2017.08.004
OpenAlex ID: W3122892361
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DOI: 10.1016/J.JEDC.2017.08.004
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6915684