Exact Pricing And Large-Time Asymptotics For The Modified Sabr Model And The Brownian Exponential Functional
We derive a closed-form expression for the stock price density under the modified SABR model [see section 2.4 in Islah (2009)] with zero correlation, for β = 1 and β
Volume (Year): 14 (2011)
Issue (Month): 04 ()
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