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Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models

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 Lévy 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.

preprint2016arXivOpen access
Stefan GerholdI. Cetin GülümArpad Pinter
q-fin.PR
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Open access3 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Stefan GerholdI. Cetin GülümArpad Pinter

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