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q-fin.PR2015
Black-Scholes in a CEV random environment
Antoine Jacquier, Patrick Roome
Classical (Itô diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential Lévy and…
q-fin.PR2015
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As a…