Extreme at-the-money skew in a local volatility model
Crossref DOI link: https://doi.org/10.1007/s00780-019-00406-2
Published Online: 2019-09-05
Published Print: 2019-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Pigato, Paolo
Text and Data Mining valid from 2019-09-05
Version of Record valid from 2019-09-05
Article History
Received: 13 December 2018
Accepted: 4 June 2019
First Online: 5 September 2019