Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (2018)

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/10.1080/14697688.2018.1432883

Publication URI: http://dx.doi.org/10.1080/14697688.2018.1432883

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 10