The Right Wing of the SABR Smile with an Absorbing Boundary: Resolution of Conjectures of Henry-Labordère

Zeyu Cao, Shaosai Huang

We determine the leading logarithmic asymptotics of the fixed-maturity right tail of the SABR model with $\beta \in (0,1)$ and absorption at zero, for every correlation $\rho \in (-1,1)$. If…