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"Small-Time Asymptotics for Basket Options - the Bivariate SABR Model and ..."

Martin Forde, Hongzhong Zhang (2016)

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DOI: 10.1137/15M1029795

access: closed

type: Journal Article

metadata version: 2017-09-16

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  - journals/siamfm/FordeZ16
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Martin Forde, Hongzhong Zhang:
Small-Time Asymptotics for Basket Options - the Bivariate SABR Model and the Hyperbolic Heat Kernel on ℍ³. SIAM J. Financial Math. 7(1): 448-476 (2016)

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