Small-Maturity Asymptotics for the At-The-Money Implied...

Applied Mathematical Finance 2016 / 03 Vol. 23; Iss. 2

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

Gerhold, Stefan, Gülüm, I. Cetin, Pinter, Arpad
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Volume:
23
Language:
english
Journal:
Applied Mathematical Finance
DOI:
10.1080/1350486X.2016.1197041
Date:
March, 2016
File:
PDF, 1.86 MB
english, 2016
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