Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models

We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short...

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Detalles Bibliográficos
Autores principales: Gerhold, Stefan, Gülüm, I. Cetin, Pinter, Arpad
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Routledge 2016
Materias:
Original Articles
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5012375/
https://www.ncbi.nlm.nih.gov/pubmed/27660537
http://dx.doi.org/10.1080/1350486X.2016.1197041

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5012375/
https://www.ncbi.nlm.nih.gov/pubmed/27660537
http://dx.doi.org/10.1080/1350486X.2016.1197041

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