Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\) (Q3188151)
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scientific article
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| English | Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\) |
scientific article |
Statements
Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ (English)
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17 August 2016
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basket options
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small-time asymptotics
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SABR model
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stochastic volatility
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heat kernel
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implied volatility
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large deviations
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0.7806712985038757
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0.7708671689033508
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0.7614889144897461
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0.7556942701339722
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0.7459272742271423
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