The survival probability of the SABR model: asymptotics and application (Q4619520): Difference between revisions

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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Equations with nonnegative characteristic form. I
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+Can the implied volatility surface move by parallel shifts?
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+Approximate arbitrage-free option pricing under the SABR model
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