The notebooks correspond to numerical tests and implementations performed developed in the two papers
-
A. Gulisashvili, B. Horvath and A. Jacquier. Mass at zero in the uncorrelated SABR model. Quantitative Finance, 18(10): 1753-1765, 2018. https://www.tandfonline.com/doi/full/10.1080/14697688.2018.1432883
-
S. De Marco, C. Hillairet, A. Jacquier. Shapes of implied volatility with positive mass at zero. SIAM Journal on Financial Mathematics, 8(1): 709-737, 2017. https://epubs.siam.org/doi/abs/10.1137/14098065X
We do not take any responsibility and we are not liable for any misuse of the results.