Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Alexander Gairat, Vadim Shcherbakov
| Year of publication: |
2024
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|---|---|
| Authors: | Gairat, Alexander ; Shcherbakov, Vadim |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 4, p. 1179-1202
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| Subject: | At-the-money skew | Implied volatility | Local volatility model | Skew Brownian motion | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00545-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130561