FORDE, MARTIN; POGUDIN, ANDREY - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350047-1
Large-time asymptotics are established for the SABR model with β = 1, ρ ≤ 0 and β 1, ρ = 0. We also compute large-time asymptotics for the constant elasticity of variance (CEV) model in the large-time, fixed-strike regime and a new large-time, large-strike regime, and for the uncorrelated...
