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Quantitative Finance Volume 18, 2018 - Issue 10
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Research Papers

The survival probability of the SABR model: asymptotics and application

Nian YangDepartment of Finance and Insurance, Nanjing University, 16 Jinyin Street, Gulou, Nanjing, 210093China.View further author information
&
Xiangwei WanAntai College of Economics and Management, Shanghai Jiao Tong University, 1954 Huashan Road, Shanghai, 200030China.Correspondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-8407-364XView further author information
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Pages 1767-1779 | Received 04 Oct 2016, Accepted 22 Dec 2017, Published online: 22 Feb 2018

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