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

DOI10.1080/14697688.2018.1432883zbMath1406.91463arXiv1502.03254OpenAlexW3122377532MaRDI QIDQ4619519

Archil Gulisashvili, Antoine Jacquier, Blanka Horvath

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03254

zbMATH Keywords

asymptotic expansionsimplied volatilitySABR model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91G99)

Related Items (9)

Approximate solutions to second-order parabolic equations: evolution systems and discretization ⋮ On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition ⋮ The survival probability of the SABR model: asymptotics and application ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ The principle of not feeling the boundary for the SABR model ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models ⋮ A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’

Cites Work

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