On the probability of hitting the boundary for Brownian motions on the SABR plane (2016)

First Author: Gulisashvili A
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1214/16-ecp26

Publication URI: http://dx.doi.org/10.1214/16-ecp26

Type: Journal Article/Review

Parent Publication: Electronic Communications in Probability

Issue: none