Analytical Solutions of the SABR Stochastic Volatility Model
This thesis studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in t...
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| Language: | English |
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2012
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| Online Access: | https://doi.org/10.7916/D8KS6ZJ8 |