Short-time implied volatility of additive normal tempered stable processes (Q6549591)
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scientific article; zbMATH DE number 7859336
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| English | Short-time implied volatility of additive normal tempered stable processes |
scientific article; zbMATH DE number 7859336 |
Statements
Short-time implied volatility of additive normal tempered stable processes (English)
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4 June 2024
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additive process
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volatility surface
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skew
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small-time
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calibration
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0.7974129319190979
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0.7819340825080872
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0.7800599932670593
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0.7778545618057251
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0.775847315788269
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