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Persistent link: https://www.econbiz.de/10011403232
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 constant elasticity of variance (CEV) model, jump-to-default...
Persistent link: https://www.econbiz.de/10011279126