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

Choi, J; Wu, LX

Choi, J (corresponding author), Peking Univ, HSBC Business Sch, Shenzhen 518055, Peoples R China.

QUANTITATIVE FINANCE, 2021; 21 (7): 1083

Abstract

Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide short term asymptotics for the mass at zero under the uncorrelated stochastic-al......

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