Extreme ATM skew in a local volatility model with discontinuity: joint density approach
Crossref DOI link: https://doi.org/10.1007/s00780-024-00545-1
Published Online: 2024-08-30
Published Print: 2024-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Gairat, Alexander
Shcherbakov, Vadim
Text and Data Mining valid from 2024-08-30
Version of Record valid from 2024-08-30
Article History
Received: 22 May 2023
Accepted: 3 April 2024
First Online: 30 August 2024
Declarations
:
: The authors declare no competing interests.