Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519)
From MaRDI portal
scientific article; zbMATH DE number 7013638
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mass at zero in the uncorrelated SABR model and implied volatility asymptotics |
scientific article; zbMATH DE number 7013638 |
Statements
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (English)
0 references
6 February 2019
0 references
SABR model
0 references
asymptotic expansions
0 references
implied volatility
0 references
