Convergence of At-the-money Implied Volatilities to the Spot Volatility
نویسنده
چکیده
We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black–Scholes formula and of the central limit theorem for martingales.
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تاریخ انتشار 2008