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2026-10-15
Feeling the generalised rough SABR boundary
Masaaki FukasawaAntoine JacquierMugad Oumgari
文献摘要
We provide an in-depth analysis of a generalised rough version of the SABR volatility model, widely used in the financial industry. We specifically focus on its behaviour at the origin, whether it can reach it and how fast it may do so.
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