Azzone, Michele; Baviera, Roberto - In: Annals of Operations Research 336 (2022) 1, pp. 93-126
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We examine the short-time-to-maturity behavior of the implied volatility smile for pure jump exponential additive processes....
