Open AccessExtension of SABR Libor Market Model to handle negative interest rates
Author(s) -
Jie Xiong,
Geng Deng,
Xindong Wang
Publication year - 2020
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2020007
Subject(s) - sabr volatility model , libor market model , libor , stochastic volatility , constant elasticity of variance model , interest rate , volatility (finance) , econometrics , implied volatility , mathematics , economics , monetary economics