英文标题：
《Small-maturity asymptotics for the at-the-money implied volatility slope
in L\\\'evy models》
---
作者：
Stefan Gerhold, I. Cetin G\\\"ul\\\"um, Arpad Pinter
---
最新提交年份：
2016
---
英文摘要：
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential L\\\'evy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money 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.
---
中文摘要：
当到期日趋于零时，我们考虑隐含波动率的货币履约衍生品。我们的主要结果量化了包含布朗成分的无限活度指数LSevy模型的斜率行为。作为辅助结果，我们利用Mellin变换的渐近性，得到了货币数字看涨期权短期到期的渐近展开式。最后，我们讨论了当货币斜率与李矩公式给出的微笑翅膀的陡度一致时。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->