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20182021
most citedExact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution

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

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q-fin.MF2021

Proof of non-convergence of the short-maturity expansion for the SABR model

Alan L. Lewis, Dan Pirjol

We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal () SABR model. In this model the option time-value can be r…