Proof of non-convergence of the short-maturity expansion for the SABR model
Year of publication: |
2022
|
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Authors: | Lewis, Alan L. ; Pirjol, Dan |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 9, p. 1747-1757
|
Subject: | Asymptotic expansions | Saddle point method | Singularity analysis | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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