A new look at short-term implied volatility in asset price models with jumps
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References listed on IDEAS
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- Masaaki Fukasawa, 2015. "Short-time at-the-money skew and rough fractional volatility," Papers 1501.06980, arXiv.org.
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- Stefan Gerhold & I. Cetin Gulum & Arpad Pinter, 2013. "Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models," Papers 1310.3061, arXiv.org, revised May 2016.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-14 (All new papers)
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