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PDE Methods for SABRase .(.) = .. is the original SABR model which was introduced in Hagan et al. (Wilmott Mag 1:84–108, 2002). Special versions of the model are known as the log-normal SABR model, .(.) = ., the Normal or Bachelier SABR model, .(.) = 1 and the shifted SABR model .(.) = (. + .)., with . > 0. Recently, A

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查看完整版本: Titlebook: Novel Methods in Computational Finance; Matthias Ehrhardt,Michael Günther,E. Jan W. ter Ma Book 2017 Springer International Publishing AG