The Small Maturity Implied Volatility Slope for L\'evy Models
AbstractWe consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the growth of the slope for infinite activity exponential Levy models. As auxiliary results, we obtain the limiting values of short maturity digital call options, using Mellin transform asymptotics. Finally, we discuss when the at-the-money slope is consistent with the steepness of the smile wings, as given by Lee's moment formula.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1310.3061.
Date of creation: Oct 2013
Date of revision: Aug 2014
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
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