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
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| 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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0.8354275822639465
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0.8291633129119873
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0.8287933468818665
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0.8285473585128784
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0.8270675539970398
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