Shapes of Implied Volatility with Positive Mass at Zero

SIAM Journal on Financial Mathematics 2017 / 01 Vol. 8; Iss. 1

Shapes of Implied Volatility with Positive Mass at Zero

De Marco, S., Hillairet, C., Jacquier, A.
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Volume:
8
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/14098065X
Date:
January, 2017
File:
PDF, 614 KB
english, 2017
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