Proof of non-convergence of the short-maturity expansion for the SABR model

DOI10.1080/14697688.2022.2071759zbMath1500.91136arXiv2107.12439OpenAlexW3186854569WikidataQ113849298 ScholiaQ113849298MaRDI QIDQ5039635

Alan L. Lewis, Dan Pirjol

Publication date: 30 September 2022

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

Full work available at URL: https://arxiv.org/abs/2107.12439

zbMATH Keywords

stochastic volatilityasymptotic expansionssaddle point methodsingularity analysis

Mathematics Subject Classification ID

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

Related Items (1)

Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

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