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ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: ..:
Pirjol, Dan
;
Zhu, Lingjiong
Probability in the Engineering and Informational Sciences. 35 (2020) 4 - p. 942-974 , 2020
Link:
https://doi.org/10.1017/s0269964820000248
RT Journal T1 <Title>ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE</Title> UL https://suche.suub.uni-bremen.de/peid=cr-10.1017_s0269964820000248&Exemplar=1&LAN=DE A1 Pirjol, Dan A1 Zhu, Lingjiong PB Cambridge University Press (CUP) YR 2020 SN 0269-9648 SN 1469-8951 JF Probability in the Engineering and Informational Sciences VO 35 IS 4 SP 942 OP 974 LK http://dx.doi.org/https://doi.org/10.1017/s0269964820000248 DO https://doi.org/10.1017/s0269964820000248 SF ELIB - SuUB Bremen
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