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

DOI10.1080/1350486X.2016.1197041zbMath1396.91731arXiv1310.3061OpenAlexW2412572825WikidataQ40407342 ScholiaQ40407342MaRDI QIDQ4682702

I. Cetin Gülüm, Arpad Pinter, Stefan Gerhold

Publication date: 19 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3061

zbMATH Keywords

Mellin transformasymptoticsLévy processimplied volatilitydigital option

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure ⋮ SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW ⋮ Small-maturity digital options in Lévy models: an analytic approach ⋮ Extreme at-the-money skew in a local volatility model ⋮ The value of power-related options under spectrally negative Lévy processes ⋮ Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime

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