Short-term at-the-money asymptotics under stochastic volatility models
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Abstract: A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for at-the-money implied volatility skew and curvature is also given as a corollary. The rough Bergomi model is treated as an example.
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Cited in
(43)- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
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