Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$

DOI10.1137/15M1029795zbMath1345.60031arXiv1603.02896OpenAlexW3099811162MaRDI QIDQ3188151

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Publication date: 17 August 2016

Published in: (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.02896

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