A Stochastic Volatility Alternative to Sabr

A Stochastic Volatility Alternative to Sabr

L. C. G. Rogers and L. A. M. Veraart
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Volume:
45
Language:
english
Journal:
Journal of Applied Probability
DOI:
10.2307/27596009
Date:
December, 2008
File:
PDF, 1017 KB
english, 2008
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