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Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil
;
Horvath, Blanka Nora
;
Jacquier, …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
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