A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’

DOI10.1080/14697688.2021.1876908zbMath1476.91179arXiv2011.00557OpenAlexW3147269542MaRDI QIDQ5014241

Jaehyuk Choi, Lixin Wu

Publication date: 1 December 2021

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

Full work available at URL: https://arxiv.org/abs/2011.00557

zbMATH Keywords

stochastic volatilityGauss-Hermite quadratureCEV modelSABR model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

Uses Software

• BENCHOP

Cites Work

• Unnamed Item
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Shapes of Implied Volatility with Positive Mass at Zero
• Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
• Modern SABR Analytics
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
• Exact Simulation of the SABR Model

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