Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702)
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scientific article; zbMATH DE number 6938921
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models |
scientific article; zbMATH DE number 6938921 |
Statements
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (English)
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19 September 2018
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implied volatility
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Lévy process
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digital option
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asymptotics
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Mellin transform
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