Korn, R.R.KornTang, S.S.Tang2022-03-042022-03-042013https://publica.fraunhofer.de/handle/publica/23491410.1002/wilm.10235The 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.en003006519journal article