Year: 2026
Type: preprint
Abstract: 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.
Source: arXiv (Cornell University)
Institution: The University of Osaka
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7222669278