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Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models

Stefan Gerhold1, I Cetin Gülüm1, Arpad Pinter1

  • 1Institute of Statistics and Mathematical Methods in Economics, TU Wien , Wiedner Hauptstrasse 8-10/E105-1, Vienna A-1040 , Austria.

Applied Mathematical Finance
|September 24, 2016
PubMed

Keywords:
Implied volatilityLévy processMellin transformasymptoticsdigital option

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