Extreme at-the-money skew in a local volatility model
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Publication:2274223
DOI10.1007/s00780-019-00406-2zbMath1427.91279OpenAlexW2971448391WikidataQ127300868 ScholiaQ127300868MaRDI QIDQ2274223
Publication date: 19 September 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-019-00406-2
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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