Modello SABR: differenze tra le versioni

Versione delle 19:54, 15 mar 2018

Versione delle 05:05, 3 mag 2019

Riga 15:

*[https://web.archive.org/web/20150329204211/http://www.wilmott.com/pdfs/021118_smile.pdf Managing Smile Risk, P. Hagan et al.] – The original paper introducing the SABR model.

*[http://www.lesniewski.us/papers/published/HedgingUnderSABRModel.pdf Hedging under SABR Model, B. Bartlett] – Refined risk management under the SABR model.

*{{cita web|httphttps://arxiv.org/abs/0708.0998v3|Fine Tune Your Smile – Correction to Hagan et al.}}

*{{cita web|http://www.riskworx.com/insights/sabr/sabr.html|A SUMMARY OF THE APPROACHES TO THE SABR MODEL FOR EQUITY DERIVATIVE SMILES}}

*{{cita web|httphttps://arxiv.org/pdf/physics/0602102v1|UNIFYING THE BGM AND SABR MODELS: A SHORT RIDE IN HYPERBOLIC GEOMETRY, PIERRE HENRY-LABORD`ERE}}

*{{cita web|url=httphttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=1850709|titolo=Asymptotic Approximations to CEV and SABR Models}}

*{{cita web|http://www.pricing-option.com/calibration_sabr.aspx|Test SABR (with calibration) online}}

*{{cita web|http://www.serdarsen.somee.com/Calbration%20SABR.aspx|SABR calibration}}

*[httphttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2026350 Advanced Analytics for the SABR Model] - Includes '''exact''' formula for zero correlation case

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