A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’

DOI10.1080/14697688.2021.1876908zbMath1476.91179arXiv2011.00557MaRDI QIDQ5014241

Lixin Wu, Jaehyuk Choi

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.00557

zbMATH Keywords

stochastic volatility; Gauss-Hermite quadrature; CEV model; SABR model

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Uses Software

• BENCHOP