Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case
A. Itkin and D. Muravey
The Journal of Derivatives Fall 2022, jod.2022.1.166; DOI: https://doi.org/10.3905/jod.2022.1.166
A. Itkin
is at the Tandon School of Engineering at New York University, Brooklyn, NY
D. Muravey
is at the Moscow State University, Moscow, Russia
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In this issue
The Journal of Derivatives
Vol. 29, Issue 5
Summer 2022
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case
A. Itkin, D. Muravey
The Journal of Derivatives Jul 2022, jod.2022.1.166; DOI: 10.3905/jod.2022.1.166