Conforti, Giovanni; Marco, Stefano De; Deuschel, … - arXiv.org - 2014
The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of densities and implied volatilities in models involving...