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"A General Valuation Framework for SABR and Stochastic Local Volatility Models."

Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen (2018)

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DOI: 10.1137/16M1106572

access: closed

type: Journal Article

metadata version: 2023-09-28

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Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen:
A General Valuation Framework for SABR and Stochastic Local Volatility Models. SIAM J. Financial Math. 9(2): 520-563 (2018)

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