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Classic SABR Model: Exactly Solvable Cases

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Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Abstract

In this chapter, we analyze exactly solvable cases for the SABR model; free Normal SABR, Log-normal SABR, Normal SABR with positive rate and zero correlation between underlying and volatility, and a general zero correlation case.

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© The Author(s), under exclusive licence to Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Standard Chartered BankLondonUK
  2. 2.Numerix LLCNew YorkUSA

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