Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (2015)

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/10.48550/arxiv.1502.03254

Publication URI: https://arxiv.org/abs/1502.03254

Type: Preprint