Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361)
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scientific article; zbMATH DE number 6644328
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| English | Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps |
scientific article; zbMATH DE number 6644328 |
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (English)
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27 October 2016
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exponential Lévy models
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stochastic volatility models
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short-term asymptotics
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ATM implied volatility slope
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ATM digital call option prices
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0.8548996448516846
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0.8480905890464783
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0.8396580815315247
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0.8274036049842834
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0.8146172761917114
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