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q-fin.MF2020★ 5 cited
A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'
Jaehyuk Choi, Lixin Wu
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by…
q-fin.MF2019★ 5 cited
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Jaehyuk Choi, Lixin Wu
This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black-Scholes (BS) volatility, w…