Solving SABR in Exact Form and Unifying it with LIBOR Market Model

By Othmane Islah. 2009

55 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/365a16345a81a533df67bfffbc9f6b4ea69308b9

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In Finance

1. H. V. D. Weide
2. Cornelis W. Oosterlee
3. Bin Chen
4. Peter A. Forsyth
5. Liangjun Su
6. Eduardo Abi Jaber

Citations in the corpus

• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (2012, methodology): “In a first step, we derive the conditional moments of ∫ ∆ 0 σ 2 s ds, given σ∆ (and σ0), by the small dis- turbance expansion, proposed by Kunitomo [20].”