Proof of non-convergence of the short-maturity expansion for the SABR model (Q5039635)
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scientific article; zbMATH DE number 7595446
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| 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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0.8393878
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0.8362143
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0.8299615
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0.82870686
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0.82856756
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0.82765573
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0.82617974
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0.8246124
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0.8217089
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