The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

Jaehyuk Choi^*, Lixin Wu

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal Article › peer-review

5 Citations (Scopus)

1 results

Finished
Dual-Curve Term Structure Models for Post-Crisis Interest-Rate Derivatives
WU, L. (PI)
1/09/17 → 31/01/20
Project: Research