Shapes of Implied Volatility with Positive Mass at Zero

DOI10.1137/14098065XzbMath1407.91246arXiv1310.1020MaRDI QIDQ4607048

Antoine Jacquier, Stefano De Marco, Caroline Hillairet

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1020

zbMATH Keywords

heavy-tailed distributionimplied volatilityCEV modelabsorption at zeroatomic distributionsmile asymptotics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20)

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