most citedModelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models

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q-fin.CP2016

Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options

Jan Kuklinski, Kevin Tyloo

We discuss a semi-analytical method for solving SABR-type equations based on path integrals. In this approach, one set of variables is integrated analytically while the second set…