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Paper / 2026SMQ / 207941286706637
The Right Wing of the SABR Smile with an Absorbing Boundary: Resolution of Conjectures of Henry-Labordère
Shaosai Huang / Zeyu Cao
mathematical financeResource overview

The Right Wing of the SABR Smile with an Absorbing Boundary: Resolution of Conjectures of Henry-Labordère

Paper2026

by Shaosai Huang, Zeyu Cao

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mathematical finance

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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