Does the Term-Structure of the At-the-Money Skew Really Follow a Power Law?

Julien Guyon () and Mehdi El Amrani ()
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Julien Guyon: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées, MATHRISK - Mathematical Risk Handling - UPEM - Université Paris-Est Marne-la-Vallée - ENPC - École nationale des ponts et chaussées - Centre Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique, Bloomberg L.P.
Mehdi El Amrani: Bloomberg L.P.

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Date: 2023-08-01
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Published in Risk, 2023

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