Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519)
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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 |
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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (English)
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6 February 2019
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SABR model
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asymptotic expansions
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implied volatility
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