Applied Math Talk: A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1 given by Zhengji Guo (CGU)
Emmy Noether Room, Millikan 1021, Pomona College 610 N. College Ave., Claremont, CaliforniaWe develop two new pricing formulae for European options. The purpose of these formulae is to better understand the impact of each term of the model, as well as improve […]