PreprintarXiv licencearXiv
Feeling the generalised rough SABR boundary
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.
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BibTeX
@misc{fukasawa2026feeling,
title = {{Feeling the generalised rough SABR boundary}},
author = {Masaaki Fukasawa and Antoine Jacquier and Mugad Oumgari},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.21841},
eprint = {2610.21841},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.21841},
}
RIS
TY - UNPB
TI - Feeling the generalised rough SABR boundary
AU - Masaaki Fukasawa
AU - Antoine Jacquier
AU - Mugad Oumgari
PY - 2026
DA - 2026/10/15
PB - arXiv
DO - 10.48550/arxiv.2610.21841
UR - https://arxiv.org/abs/2610.21841
AB - 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.
ER -