Extreme ATM skew in a local volatility model with discontinuity: joint density approach (Q6619592)
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scientific article; zbMATH DE number 7927024
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme ATM skew in a local volatility model with discontinuity: joint density approach |
scientific article; zbMATH DE number 7927024 |
Statements
Extreme ATM skew in a local volatility model with discontinuity: joint density approach (English)
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16 October 2024
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local volatility model
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skew Brownian motion
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implied volatility
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at-the-money skew
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