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2013
Journal Article
Titel
Exact analytical solution in the normal SABR model
Abstract
The Stochastic Alpha Beta Rho (SABR) model by Hagan et al.(2002) is currently one of the most popular models in the interestrate derivative markets. In this paper, based on Henry-Labordere's (2008) previous work, we derive a new exact analytical solution for the normal SABR model and verify its correctness by numerical examples.