SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The Free Boundary SABR: Natural Extension to Negative Rates · Study

PreprintShelves

PreprintThe Free Boundary SABR: Natural Extension to Negative Rates

Alexandre Antonov2015

OA

Preprintgreen2015

The Free Boundary SABR: Natural Extension to Negative Rates

Alexandre Antonov · Michael Konikov

39 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 39 citations exist upstream.

References

2009Mathematical Methods for Financial Markets 2010Mathematical Methods for Financial Markets 2006Efficient Simulation of the Heston Stochastic Volatility Model 2008Analysis, Geometry, and Modeling in Finance 2009The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives 2015Asymptotic Implied Volatility at the Second Order with Application to the SABR Model 2014Arbitrage-Free SABR 2009Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Cited by

2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2020Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlationsother · 3 shared references 2013Monte Carlo and Quasi-Monte Carlo Methodschapter · 2 shared references 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Modelarticle · 2 shared references 2013Utility maximization with a given pricing measure when the utility is not necessarily concavearticle · 2 shared references 2016A general HJM framework for multiple yield curve modellingarticle · 2 shared references 2020Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARSarticle · 2 shared references

Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.2557046

openalex_workW1131399

Links

Imported from OpenAlex (CC0) — nothing here is generated.