Work

Classic SABR Model: Heat Kernel Expansion and Projection on Solvable Models

Year: 2019

Type: book-chapter

Source: SpringerBriefs in quantitative finance

DOI: 10.1007/978-3-030-10656-0_4

Authors: Alexandre Antonov, Michael Konikov, Michael Spector

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2941779941

FWCI: 1.682

Cites:

Cited by: 1

Related to: 10