A family of generalized driftless uncorrelated SABR-like models are classified according to the dimensions of the symmetry groups of their corresponding backward Kolmogorov equations. This family contains the original uncorrelated SABR models, for arbitrary positive beta, as special cases. New cases with a rich symmetry group appear.
Generalized uncorrelated SABR models with a high degree of symmetry / Tai Ho, Wang; Laurence, Peter Michael; P. M., Wang; L. I., Sheng. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 10:6(2010), pp. 663-679. [10.1080/14697680902934189]
Generalized uncorrelated SABR models with a high degree of symmetry
LAURENCE, Peter Michael;
2010
Abstract
A family of generalized driftless uncorrelated SABR-like models are classified according to the dimensions of the symmetry groups of their corresponding backward Kolmogorov equations. This family contains the original uncorrelated SABR models, for arbitrary positive beta, as special cases. New cases with a rich symmetry group appear.File allegati a questo prodotto
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.