Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration

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ISSN Print: 2162-2434
ISSN Online: 2162-2442
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"Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration"
written by Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli,
published by Journal of Mathematical Finance, Vol.3 No.1, 2013

has been cited by the following article(s):

[1]	Differential Geometry Techniques in the Black-scholes Option Pricing; Theoretical Results and Approximations
	Procedia Economics and Finance, 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 the Option Prices
	Journal of Applied Mathematics and Physics, 2014

[3]	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

[4]	The use of statistical tests to calibrate the normal SABR model
	Journal of Inverse and Ill-Posed Problems, 2013

[5]	Closed form moment formulae for the lognormal SABR model and applications to calibration problems
	Open Journal of Applied Sciences, 2013

[6]	Some Explicit Formulae for the Hull and White Stochastic Volatility Model
	2013

[1]	Differential Geometry Techniques in the Black-scholes Option Pricing; Theoretical Results and Approximations Procedia Economics and Finance, 2014 DOI:10.1016/S2212-5671(14)00061-6

[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 the Option Prices Journal of Applied Mathematics and Physics, 2014 DOI:10.4236/jamp.2014.27062

[3]	Some Explicit Formulae for the Hull and White Stochastic Volatility Model International Journal of Modern Nonlinear Theory and Application, 2013 DOI:10.4236/ijmnta.2013.21003

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