A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ (Q5014241): Difference between revisions
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scientific article; zbMATH DE number 7436819
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ |
scientific article; zbMATH DE number 7436819 |
Statements
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ (English)
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1 December 2021
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stochastic volatility
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SABR model
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CEV model
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Gauss-Hermite quadrature
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