Work

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

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1489428

Author: Othmane Islah

Institution: Lloyds Banking Group (United Kingdom)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2106571402

Cites: 22

Cited by: 50

Related to: 10