A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’-Reference-Cited by-同舟云学术

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A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’

Published:2021-03-26 Issue:7 Volume:21 Page:1083-1086
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Choi Jaehyuk¹^ORCID,Wu Lixin²^ORCID

Affiliation:

1. Peking University HSBC Business School, University Town, Nanshan, Shenzhen 518055, People's Republic of China

2. Department of Mathematics, The Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, People's Republic of China

Funder

Bridge Trust Asset Management Research Fund

Research Grants Council, University Grants Committee

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1876908

Reference12 articles.

1. Modern SABR Analytics

2. Exact Simulation of the SABR Model

3. Choi, J. and Wu, L., The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. arXiv:1911.13123 [q-fin], 2019. http://arxiv.org/abs/1911.13123.

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Black–Scholes user's guide to the Bachelier model;Journal of Futures Markets;2022-02-16

2. The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model;Journal of Economic Dynamics and Control;2021-07

3. The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model;SSRN Electronic Journal;2019

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