A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Jaehyuk Choi and Lixin Wu
| Year of publication: |
2021
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|---|---|
| Authors: | Choi, Jaehyuk ; Wu, Lixin |
| Subject: | CEV model | Gauss-Hermite quadrature | SABR model | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1876908 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012588019