Extreme at-the-money skew in a local volatility model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-019-00406-2.pdf
Reference56 articles.
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4. Bayer, C., Friz, P.K., Gulisashvili, A., Horvath, B., Stemper, B.: Short-time near-the-money skew in rough fractional volatility models. Quant. Finance 19, 779–798 (2019)
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