Results 91 to 100 of about 1,033 (104)

LIBOR market model with SABR style stochastic volatility

2019
Hagan, Patrick, Lesniewski, Andrew
openaire   +1 more source

SABR Volatility Model in the LIBOR Market Model Framework

SSRN Electronic Journal, 2012
openaire   +1 more source

Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model

SSRN Electronic Journal, 2015
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier   +2 more
openaire   +1 more source

A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’

Quantitative Finance, 2021
Jaehyuk Choi, Wu, Li Xin
exaly  

SABR for metastasis-directed therapy — what we’ve learned and what’s to come

Nature Reviews Clinical Oncology, 2020
Tyler P Robin
exaly  

The survival probability of the SABR model: asymptotics and application

Quantitative Finance, 2018
Xiangwei Wan
exaly  

Stereotactic ablative radiotherapy versus standard of care palliative treatment in patients with oligometastatic cancers (SABR-COMET): a randomised, phase 2, open-label trial

Lancet, The, 2019
Robert A Olson, Stewart Gaede, Michael Lock   +2 more
exaly  

A unified model of SABR and mean-reverting stochastic volatility for derivative pricing

Applied Mathematics and Computation
Sun-Yong Choi, Jeong-Hoon Kim
openaire   +1 more source

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

Applied Mathematics and Computation, 2017
Alvaro Leitao, Lech A Grzelak, Cornelis W Oosterlee   +2 more
exaly  

Exact Simulation of the SABR Model

Operations Research, 2017
Ning Cai, Yingda Song
exaly