"Shapes of Implied Volatility with Positive Mass at Zero."

Stefano De Marco, Caroline Hillairet, Antoine Jacquier (2017)

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DOI: 10.1137/14098065X

access: closed

type: Journal Article

metadata version: 2020-03-27

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Stefano De Marco, Caroline Hillairet, Antoine Jacquier:
Shapes of Implied Volatility with Positive Mass at Zero. SIAM J. Financial Math. 8(1): 709-737 (2017)

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