The stochastic alpha beta rho model is a stochastic volatility model for forward prices commonly used in the modelling of interest rate derivatives. The alpha, beta and rho in the name are parameters ...

In our first paper, “Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures”, Jaehyuk Choi and Byoung Ki Seo consider accurate and arbitrage-free numerical schemes ...