Feeling the generalised rough SABR boundary

Masaaki Fukasawa, Antoine Jacquier and Mugad Oumgari

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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.

Date: 2026-10
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2610.21841

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