The Small Maturity Implied Volatility Slope for Levy Models
- Date
- Jan 22, 2015
- Time
- 2:00 PM - 3:00 PM
- Speaker
- Dr. Stefan Gerhold
- Affiliation
- TU Wien
- Series
- TUD Mathematik AG Analysis & Stochastik
- Language
- en
- Main Topic
- Mathematik
- Other Topics
- Mathematik
- Host
- Prof. Dr. M. Keller-Ressel
- Description
- 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 a novel application of 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. Joint work with I.C. Gülüm.
- Links
Last modified: Dec 4, 2014, 4:19:15 PM
Location
TUD Willers-Bau (WIL A 124)Zellescher Weg12-1401069Dresden
- Homepage
- https://navigator.tu-dresden.de/etplan/wil/00
Organizer
TUD MathematikWillersbau, Zellescher Weg12-1401069Dresden
- Phone
- 49-351-463 33376
- Homepage
- http://tu-dresden.de/mathematik
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