GULISASHVILI, ARCHIL - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550013-1
The paper considers the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In … such models, the asset price distribution has a singular component at zero. Examples of models with atoms include the … the first hitting time of zero. For models with atoms, the behavior of the implied volatility at large strikes is similar …