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Modern SABR Analytics
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Modern SABR Analytics

Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner.

Undertittel
Formulas and Insights for Quants, Former Physicists and Mathematicians
Opplag
2019 ed.
ISBN
9783030106553
Språk
Engelsk
Vekt
310 gram
Utgivelsesdato
2.5.2019
Antall sider
127