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

Alexander Gairat, Vadim Shcherbakov

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)1179-1202
JournalFinance and Stochastics
Volume28
Issue number4
Early online date30 Aug 2024
DOIs
Publication statusPublished - Oct 2024

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