Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ (Q3188151)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ |
scientific article |
Statements
Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ (English)
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17 August 2016
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basket options
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small-time asymptotics
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SABR model
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stochastic volatility
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heat kernel
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implied volatility
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large deviations
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