Short-time implied volatility of additive normal tempered stable processes

DOI10.1007/S10479-022-04894-YMaRDI QIDQ6549591zbMATH OpenFDO

Authors Michele Azzone, Roberto Baviera

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-04894-Y

zbMATH Keywords

calibrationadditive processskewvolatility surfacesmall-time

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• scientific article; zbMATH DE number 52498 (Why is no real title available?)
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• scientific article; zbMATH DE number 965582 (Why is no real title available?)
• A fast Monte Carlo scheme for additive processes and option pricing
• A new look at short-term implied volatility in asset price models with jumps
• Additive normal tempered stable processes for equity derivatives and power-law scaling
• Approximations of small jumps of Lévy processes with a view towards simulation
• Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
• Financial Modelling with Jump Processes
• High-order short-time expansions for ATM option prices of exponential Lévy models
• Maturity cycles in implied volatility
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Pricing and hedging in exponential Lévy models: review of recent results
• Pricing under rough volatility
• Probability
• Short-time at-the-money skew and rough fractional volatility
• Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
• Small-Time Asymptotics of Option Prices and First Absolute Moments
• Tempered stable distributions and processes
• The Moment-Generating Function and Negative Integer Moments
• The small-maturity smile for exponential Lévy models
• Volatility has to be rough
• Volatility is rough

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