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The survival probability of the SABR model: asymptotics and application - MaRDI portal

The survival probability of the SABR model: asymptotics and application (Q4619520)

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scientific article; zbMATH DE number 7013639
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The survival probability of the SABR model: asymptotics and application
scientific article; zbMATH DE number 7013639

    Statements

    title
    The survival probability of the SABR model: asymptotics and application (English)
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    author
    Nian Yang
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    Xiangwei Wan
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    publication date
    6 February 2019
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    zbMATH Keywords
    SABR model
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    survival probability
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    probability of hitting zero
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    implied volatility
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    cites work
    Q3331506
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    Q3150773
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    Q5709400
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    Q4002114
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    Q3923307
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    Q5423895
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    Q5621610
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    Q2782240
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    Identifiers

    zbMATH DE Number
    7013639
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    OpenAlex ID
    W2789754283
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