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The Small Maturity Implied Volatility Slope for L\'evy Models

We 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.
Year of publication:
2013-10
Authors: Gerhold, Stefan ; Ismail Cetin G\"ul\"um
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10010890868
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