MoneyScience News |
- Blog Post: TheAlephBlog: Two is Company, Three is a Crowd
- Blog Post: TheFinancialServicesClub: Things worth reading: 4th October 2013
- Published / Preprint: Shapes of implied volatility with positive mass at zero. (arXiv:1310.1020v1 [q-fin.PR])
| Blog Post: TheAlephBlog: Two is Company, Three is a Crowd Posted: 04 Oct 2013 01:28 AM PDT This post should be short and simple. When there is a battle/negotiation between two parties, the one with that is stronger wins. With three parties, unless one is stronger than the the other two combined, the negotiation may take some time until a coalition with a majority of power emerges.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 4th October 2013 Posted: 03 Oct 2013 11:50 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Oct 2013 05:38 PM PDT 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... Visit MoneyScience for the Complete Article.    |
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