3 citations · 11 across the 22 of their papers we have counts for
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q-fin.PR2013
Shapes of implied volatility with positive mass at zero
Stefano De Marco, Caroline Hillairet, Antoine Jacquier
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and t…
math.PR2013
Reducing the debt : is it optimal to outsource an investment?
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain +1
We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the ex…