Shapes of Implied Volatility with Positive Mass at Zero (Q4607048): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q486929 |
||
| Property / author | |||
| Property / author: Caroline Hillairet / rank | |||
Revision as of 16:12, 15 February 2024
scientific article; zbMATH DE number 6849036
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Shapes of Implied Volatility with Positive Mass at Zero |
scientific article; zbMATH DE number 6849036 |
Statements
Shapes of Implied Volatility with Positive Mass at Zero (English)
0 references
12 March 2018
0 references
atomic distribution
0 references
heavy-tailed distribution
0 references
implied volatility
0 references
smile asymptotics
0 references
absorption at zero
0 references
CEV model
0 references
