Proof of non-convergence of the short-maturity expansion for the SABR model (Q5039635): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 2107.12439 / rank | |||
Normal rank | |||
Revision as of 21:54, 19 April 2024
scientific article; zbMATH DE number 7595446
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Proof of non-convergence of the short-maturity expansion for the SABR model |
scientific article; zbMATH DE number 7595446 |
Statements
Proof of non-convergence of the short-maturity expansion for the SABR model (English)
0 references
30 September 2022
0 references
stochastic volatility
0 references
asymptotic expansions
0 references
singularity analysis
0 references
saddle point method
0 references
