The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices / Lorella, Fatone; Francesca, Mariani; Maria Cristina, Recchioni; Zirilli, Francesco. - In: JOURNAL OF APPLIED MATHEMATICS AND PHYSICS. - ISSN 2327-4352. - 02:(2014), pp. 540-568. [10.4236/jamp.2014.27062]
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
ZIRILLI, Francesco
2014
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.