Proof of non-convergence of the short-maturity expansion for the SABR model
Alan L. Lewis and Dan Pirjol
| Year of publication: |
2022
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|---|---|
| Authors: | Lewis, Alan L. ; Pirjol, Dan |
| Subject: | Asymptotic expansions | Saddle point method | Singularity analysis | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2071759 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367944