Option pricing under the normal SABR model with Gaussian quadratures
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- Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019.
"Hyperbolic normal stochastic volatility model,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
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- Nan Chen & Nian Yang, 2019. "The principle of not feeling the boundary for the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 19(3), pages 427-436, March.
- Jaehyuk Choi & Lixin Wu, 2021.
"A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(7), pages 1083-1086, July.
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- Choi, Jaehyuk & Wu, Lixin, 2021.
"The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
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