Shapes of implied volatility with positive mass at zero (Q4607048)
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scientific article; zbMATH DE number 6849036
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| 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)
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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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0.8256893157958984
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0.7796376943588257
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0.7771135568618774
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0.7762885689735413
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0.7651191353797913
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