Open Journal of Applied Sciences

Vol.3 No.6(2013), Paper ID 38026, 15 pages

DOI:10.4236/ojapps.2013.36045

 

Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems

 

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

 

Dipartimento di Matematica e Informatica Università di Camerino via Madonna delle Carceri 9, Camerino, Italy
Dipartimento di Scienze Economiche Università degli Studi di Verona Vicolo Campo_ore 2, Verona, Italy
Dipartimento di Management Università Politecnica delle Marche Piazza Martelli 8, Ancona, Italy
Dipartimento di Matematica “G. Castelnuovo” Università di Roma “La Sapienza” Piazzale Aldo Moro 2, Roma, 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, "Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems," Open Journal of Applied Sciences, Vol. 3 No. 6, 2013, pp. 345-359. doi: 10.4236/ojapps.2013.36045.

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