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The Small Maturity Implied Volatility Slope for L\'evy Models
Gerhold, Stefan; Ismail Cetin G\"ul\"um - arXiv.org - 2013
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...
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