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

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

Othmane Islah2009

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Preprintgreen2009

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

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

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

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1976The pricing of commodity contracts 1987The Pricing of Options on Assets with Stochastic Volatilities 1997The Market Model of Interest Rate Dynamics 1997Martingale Methods in Financial Modelling 2001On Some Exponential Functionals of Brownian Motion 2000Volatility skews and extensions of the Libor market model 1983Displaced Diffusion Option Pricing

Cited by

2020Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations 2018An Artificial Neural Network Representation of the SABR Stochastic Volatility Model 2011Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model 2015The Free Boundary SABR: Natural Extension to Negative Rates 2014The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions

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2004Review Paper. Interest–rate term–structure pricing models: a reviewarticle · 7 shared references 2006THEORY AND CALIBRATION OF SWAP MARKET MODELSarticle · 6 shared references 2003The Term Structure of Simple Forward Rates with Jump Riskarticle · 5 shared references 2004Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?preprint · 5 shared references 2019LIBOR market model with SABR style stochastic volatilityarticle · 5 shared references 2004Arbitrage Theory in Continuous Timebook · 4 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1489428

openalex_workW2106571402

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