"A unified model of SABR and mean-reverting stochastic volatility for ..."

Sun-Yong Choi, Jeong-Hoon Kim (2025)

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DOI: 10.1016/J.AMC.2025.129599

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type: Journal Article

metadata version: 2025-07-04

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Sun-Yong Choi, Jeong-Hoon Kim:
A unified model of SABR and mean-reverting stochastic volatility for derivative pricing. Appl. Math. Comput. 507: 129599 (2025)

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