The survival probability of the SABR model: asymptotics and application
Author:
Affiliation:
1. Department of Finance and Insurance, Nanjing University , 16 Jinyin Street, Gulou, Nanjing, 210093 China.
2. Antai College of Economics and Management, Shanghai Jiao Tong University , 1954 Huashan Road, Shanghai, 200030 China.
Funder
China National Social Science
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1422083
Reference31 articles.
1. Handbook of Brownian Motion - Facts and Formulae
2. Shapes of Implied Volatility with Positive Mass at Zero
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