Citation

BibTex format

@article{Gulisashvili:2018:10.1080/14697688.2018.1432883,
author = {Gulisashvili, A and Horvath, B and Jacquier, A},
doi = {10.1080/14697688.2018.1432883},
journal = {Quantitative Finance},
pages = {1753--1765},
title = {Mass at zero in the uncorrelated SABR model and implied volatility asymptotics},
url = {http://dx.doi.org/10.1080/14697688.2018.1432883},
volume = {18},
year = {2018}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - We study the mass at the origin in the uncorrelated SABR stochasticvolatility model, and derive several tractable expressions, in particular whentime becomes small or large. As an application--in fact the original motivationfor this paper--we derive small-strike expansions for the implied volatilitywhen the maturity becomes short or large. These formulae, by definitionarbitrage free, allow us to quantify the impact of the mass at zero on existingimplied volatility approximations, and in particular how correct/erroneousthese approximations become.
AU - Gulisashvili,A
AU - Horvath,B
AU - Jacquier,A
DO - 10.1080/14697688.2018.1432883
EP - 1765
PY - 2018///
SN - 1469-7688
SP - 1753
TI - Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
T2 - Quantitative Finance
UR - http://dx.doi.org/10.1080/14697688.2018.1432883
UR - http://arxiv.org/abs/1502.03254v2
UR - http://hdl.handle.net/10044/1/56306
VL - 18
ER -