Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
نویسندگان
چکیده
We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity ATM digital call options, using Mellin transform asymptotics. Finally, we discuss when the ATM slope is consistent with the steepness of the smile wings, as given by Lee's moment formula.
منابع مشابه
The Small-maturity Implied Volatility Slope for Lévy Models
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the growth of the slope for infinite activity exponential Lévy models. As auxiliary results, we obtain the limiting values of short maturity digital call options, using Mellin transform asymptotics. Finally, we discuss when the at-the-money slope is consistent with the s...
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عنوان ژورنال:
دوره 23 شماره
صفحات -
تاریخ انتشار 2016