The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices / Fatone, Lorella; Mariani, Francesca; Recchioni, MARIA CRISTINA; Zirilli, Francesco. - In: JOURNAL OF APPLIED MATHEMATICS AND PHYSICS. - ISSN 2327-4352. - 02:07(2014), pp. 540-568. [10.4236/jamp.2014.27062]
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
MARIANI, Francesca;RECCHIONI, MARIA CRISTINA;
2014-01-01
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