Before revision:  An atom at zero is found in stochastic models with absorption at the boundary, such as the CEV process, and can be used to model default events, as in the class of jump-to-default structural modelsof credit risk.
After revision:  We numerically test our model-free results in stochastic models with absorption at the boundary, such as the CEV process, and can be used to model default events, as in the class of jump-to-default structural modelsof credit risk.