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20132020
most citedA note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'

5 citations · 10 across the 3 of their papers we have counts for

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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…