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Feeling the generalised rough SABR boundary

Author

Listed:
  • Masaaki Fukasawa
  • Antoine Jacquier
  • Mugad Oumgari

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.

Suggested Citation

  • Masaaki Fukasawa & Antoine Jacquier & Mugad Oumgari, 2026. "Feeling the generalised rough SABR boundary," Papers 2610.21841, arXiv.org.
    • Handle: RePEc:arx:papers:2610.21841
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    File URL: https://arxiv.org/pdf/2610.21841
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