Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models

Stefan Gerhold, I. Cetin G\"ul\"um and Arpad Pinter

Papers from arXiv.org

Abstract: We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential L\'evy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digital call options, using Mellin transform asymptotics. Finally, we discuss when the at-the-money slope is consistent with the steepness of the smile wings, as given by Lee's moment formula.

Date: 2013-10, Revised 2016-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://arxiv.org/pdf/1310.3061 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1310.3061

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().