论文信息 - THE SMALL MATURITY IMPLIED VOLATILITY SLOPE FOR

THE SMALL MATURITY IMPLIED VOLATILITY SLOPE FOR

We consider the at-the-money strike derivative of implied volatil- ity as the maturity tends to zero. Our main results quantify the growth of the slope for innite activity exponential L evy models. As auxiliary results, we obtain the limiting values of short maturity digital call options. 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.

Stefan Gerhold | L Evy

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