ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE
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Publication:5051949
DOI10.1017/S0269964820000248zbMath1505.91399arXiv2001.09850OpenAlexW3123569908MaRDI QIDQ5051949
Publication date: 18 November 2022
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.09850
Related Items (2)
Proof of non-convergence of the short-maturity expansion for the SABR model ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
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