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

2 code implementations • 1 Nov 2020 • Jaehyuk Choi, Lixin Wu

Gulisashvili et al. [Quant.

Math Numerical Integration

The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

2 code implementations • 29 Nov 2019 • Jaehyuk Choi, Lixin Wu

Our approach effectively reduces the approximation error in a way similar to the control variate method because the CEV model is the zero vol-of-vol limit of the SABR model.