Shapes of Implied Volatility with Positive Mass at Zero (2017)

First Author: De Marco S
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/14098065x

Publication URI: http://dx.doi.org/10.1137/14098065x

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 1