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- February 24th, 2016, 4:27 pm
- Forum: Numerical Methods Forum
- Topic: Free-boundary SABR (Antonov, Konikov, Spector)
- Replies: 6
- Views: 7261
Free-boundary SABR (Antonov, Konikov, Spector)
<r>Hello everyone! I'm a student and I'm writing my master thesis on the subject of negative rates, and I would like to implement the mixed SABR (Antonov et al 2015 - <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2653682"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id...