Extreme ATM skew in a local volatility model with discontinuity: joint density approach

Vadim Shcherbakov, Alexander Gairat

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

Original language	English
Journal	ArXiv.org
Publication status	Unpublished - 18 May 2023

Access to Document

https://arxiv.org/abs/2305.10849

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