EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED...

International Journal of Theoretical and Applied Finance 2011 / 06 Vol. 14; Iss. 4

EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL

FORDE, MARTIN
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Volume:
14
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024911006735
Date:
June, 2011
File:
PDF, 275 KB
english, 2011
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