THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS

International Journal of Theoretical and Applied Finance 2013 / 12 Vol. 16; Iss. 8

THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS

FORDE, MARTIN, POGUDIN, ANDREY
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Volume:
16
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024913500477
Date:
December, 2013
File:
PDF, 344 KB
english, 2013
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