Extreme ATM skew in a local volatility model with discontinuity: joint density approach
type: Item
instance of: scholarly article
title: Extreme ATM skew in a local volatility model with discontinuity: joint density approach
author: Alexander Gairat
author: Vadim Shcherbakov
published in: Finance and Stochastics
publication date: 2024-10-16T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J55
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 7927024
zbMATH Keywords: local volatility model
zbMATH Keywords: skew Brownian motion
zbMATH Keywords: implied volatility
zbMATH Keywords: at-the-money skew
MaRDI profile type: Publication
cites work: Q4218398
cites work: DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
cites work: Skew Brownian motion with dry friction: joint density approach
cites work: On the constructions of the skew Brownian motion
cites work: Extreme at-the-money skew in a local volatility model
DOI: 10.1007/S00780-024-00545-1
description: scientific article; zbMATH DE number 7927024