Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems

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ISSN Print: 2165-3917
ISSN Online: 2165-3925
www.scirp.org/journal/ojapps
E-mail: ojapps@scirp.org

"Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems"
written by Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli,
published by Open Journal of Applied Sciences, Vol.3 No.6, 2013

has been cited by the following article(s):

[1]	The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
	Journal of Applied Mathematics and Physics, 2014

[2]	The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of …
	2014

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