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

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@article{88f51ba66738443facb36a660ca9e7a9,

title = "Extreme ATM skew in a local volatility model with discontinuity: joint density approach",

author = "Alexander Gairat and Vadim Shcherbakov",

year = "2024",

month = oct,

doi = "10.1007/s00780-024-00545-1",

language = "English",

volume = "28",

pages = "1179--1202",

journal = "Finance and Stochastics",

issn = "0949-2984",

publisher = "Springer Verlag",

number = "4",

}

TY - JOUR

T1 - Extreme ATM skew in a local volatility model with discontinuity

T2 - joint density approach

AU - Gairat, Alexander

AU - Shcherbakov, Vadim

PY - 2024/10

Y1 - 2024/10

U2 - 10.1007/s00780-024-00545-1

DO - 10.1007/s00780-024-00545-1

M3 - Article

SN - 0949-2984

VL - 28

SP - 1179

EP - 1202

JO - Finance and Stochastics

JF - Finance and Stochastics

IS - 4

ER -