SABR for Baskets. Issue 112 (1st April 2021)
- Record Type:
- Journal Article
- Title:
- SABR for Baskets. Issue 112 (1st April 2021)
- Main Title:
- SABR for Baskets
- Authors:
- Hagain, Patrick S.
Lewsniewski, Andrew S.
Skoufis, G. G.
Woodward, E. - Abstract:
- Abstract : We show that a basket of assets, each governed by the normal SABR model, is also governed by the normal SABR model. Explicit formulae for the SABR parameters of the basket are derived from the SABR parameters of the basket constituents.
- Is Part Of:
- Wilmott. Volume 2021:Issue 112(2021)
- Journal:
- Wilmott
- Issue:
- Volume 2021:Issue 112(2021)
- Issue Display:
- Volume 2021, Issue 112 (2021)
- Year:
- 2021
- Volume:
- 2021
- Issue:
- 112
- Issue Sort Value:
- 2021-2021-0112-0000
- Page Start:
- 50
- Page End:
- 61
- Publication Date:
- 2021-04-01
- Subjects:
- SABR model -- basket option -- closed form
Finance -- Periodicals
Financial services industry -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1541-8286 ↗
http://www.wilmott.com ↗ - DOI:
- 10.1002/wilm.10917 ↗
- Languages:
- English
- ISSNs:
- 1540-6962
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 16185.xml