A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ (Q5014241)
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scientific article; zbMATH DE number 7436819
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| English | A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ |
scientific article; zbMATH DE number 7436819 |
Statements
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ (English)
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1 December 2021
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stochastic volatility
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SABR model
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CEV model
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Gauss-Hermite quadrature
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0.94499713
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0.89072484
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0.8707881
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0.86946946
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0.8626842
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0.86212003
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0.86004215
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0.85984075
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