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https://doi.org/10.1080/14697680902934189
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Cite Journal: Quantitative Finance |  Publication Date: Jun 1, 2010 |
 Citations: 5 |
Affiliation: New York University, Baruch College, National Chung Cheng University
A family of generalized driftless uncorrelated SABR-like models are classified according to the dimensions of the symmetry groups of their corresponding backward Kolmogorov equations. This family contains the original uncorrelated SABR models, for arbitrary positive beta, as special cases. New cases with a rich symmetry group appear.
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