Shapes of Implied Volatility with Positive Mass at Zero (Q4607048)
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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 |
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Shapes of Implied Volatility with Positive Mass at Zero (English)
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12 March 2018
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atomic distribution
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heavy-tailed distribution
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implied volatility
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smile asymptotics
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absorption at zero
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CEV model
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