A Stochastic Volatility LIBOR Market Model with a Closed Form Solution
Since its initial publication the SABR model has gained widespread use across asset classes and it has now become the standard pricing framework used in the market to quote interest rate products sensitive to the non flat strike-structure of the market implied volatility. While very simple, the mode...
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Imperial College London
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.503180 |