2018•HAL (Le Centre pour la Communication Scientifique Directe)Open access
Semi-groups and the mean reverting SABR stochastic volatility model
Anna L. Mazzucato, Victor Nistor, Siyan Zhang
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Abstract
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Anna L. Mazzucato, Victor Nistor, Siyan Zhang
Abstract
International audience
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International audience
Key concepts: SABR volatility model, Mean reversion, Stochastic volatility, Volatility (finance), Econometrics, Economics, Implied volatility, Forward volatility