Shapes of Implied Volatility with Positive Mass at Zero
نویسندگان
چکیده
منابع مشابه
Shapes of Implied Volatility with Positive Mass at Zero
We study the shapes of the implied volatility when the underlying distribution has an atom at zero. We show that the behaviour at small strikes is uniquely determined by the mass of the atom up to the third asymptotic order, under mild assumptions on the remaining distribution on the positive real line. We investigate the structural difference with the no-mass-at-zero case, showing how one can—...
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We study the shapes of the implied volatility when the underlying distribution has an atom at zero. We show that the behaviour at small strikes is uniquely determined by the mass of the atom at least up to the third asymptotic order, regardless of the properties of the remaining (absolutely continuous, or singular) distribution on the positive real line. We investigate the structural difference...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2017
ISSN: 1945-497X
DOI: 10.1137/14098065x