Journal of Applied Mathematics and Physics
Vol.2 No.7(2014), Paper ID 46809, 29
pages
DOI:10.4236/jamp.2014.27062
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
Dipartimento di Matematica e Informatica, Universitá di Camerino, Via Madonna delle Carceri 9,
Camerino, Italy
Dipartimento di Scienze Economiche, Universitá degli Studi di Verona, Vicolo Campofiore 2, Verona, Italy
Dipartimento di Management, Universitá Politecnica delle Marche, Piazza Martelli 8, Ancona, Italy
Dipartimento di Matematica “G. Castelnuovo”, Universitá di Roma “La Sapienza”, Piazzale Aldo Moro 2,
Roma, Italy
Copyright © 2014 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
Fatone, L. , Mariani, F. , Recchioni, M. and Zirilli, F. (2014) The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices.
Journal of Applied Mathematics and Physics,
2, 540-568. doi:
10.4236/jamp.2014.27062.