Citation map · Study

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

8 references·1 citing·30 second hop

FromToDepth

this work references cited by second hop

References

2009Mathematical Methods for Financial Markets638 cited
2010Mathematical Methods for Financial Markets482 cited
2006Efficient Simulation of the Heston Stochastic Volatility Model174 cited
2008Analysis, Geometry, and Modeling in Finance96 cited
2009The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives78 cited
2015Asymptotic Implied Volatility at the Second Order with Application to the SABR Model77 cited
2014Arbitrage-Free SABR70 cited
2009Solving SABR in Exact Form and Unifying it with LIBOR Market Model50 cited

Cited by

2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work