The survival probability of the SABR model: asymptotics and application (Q4619520)
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scientific article; zbMATH DE number 7013639
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The survival probability of the SABR model: asymptotics and application |
scientific article; zbMATH DE number 7013639 |
Statements
The survival probability of the SABR model: asymptotics and application (English)
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6 February 2019
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SABR model
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survival probability
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probability of hitting zero
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implied volatility
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