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

Fuente: arXiv

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Bibliographic Details
Main Authors:	Gairat, Alexander, Shcherbakov, Vadim
Format:	Preprint
Published:	2023
Subjects:	Mathematical Finance Probability 91G20, 60H10, 60J65, 91G80
Online Access:	Acceder al recurso
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