Probability Distribution in the SABR Model of Stochastic Volatility

By Patrick S. Hagan, Andrew Lesniewski, Diana E. Woodward. 2015

74 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/2067a86e1d94d50e5a084310f801aca34d975368