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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.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…