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Subhankar Mitra
affiliation not provided to SSRN
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Scholarly Papers (1)
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On the Approximation of the SABR Model: A Probabilistic Approach
Applied Mathematical Finance, Forthcoming
Number of pages: 34
Posted: 22 Apr 2012
Joanne Kennedy
, Subhankar Mitra and
Duy Pham
University of Warwick - Department of Statistics,
affiliation not provided to SSRN
and University of Warwick - Department of Statistics
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Abstract:
The SABR model, displaced diffusion, stochastic volatility
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