Department of Mathematics and Information Technology, University of Camerino, Camerino, Italy
Department of Economics, University of Verona, Verona, Italy
Department of Management, University Politecnica Marche, Ancona, Italy
Department of Mathematics, “G. Castelnuovo”, University of Rome “La Sapienza”, Rome, Italy
Copyright © 2013 Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli et al. This is
an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
How to Cite this Article
L. Fatone, F. Mariani, M. Recchioni and F. Zirilli, "Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration,"
Journal of Mathematical Finance, Vol. 3 No. 1, 2013, pp. 10-32. doi:
10.4236/jmf.2013.31002.