Proof of non-convergence of the short-maturity expansion for the SABR model (Q5039635)
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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 |
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Proof of non-convergence of the short-maturity expansion for the SABR model (English)
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30 September 2022
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stochastic volatility
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asymptotic expansions
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singularity analysis
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saddle point method
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