Abstracts

The Small Maturity Implied Volatility Slope for Levy Models
Stefan Gerhold (Vienna UT, Austria)
Joint work with Ismail Cetin Gülüm

Thursday June 5, 14:30-15:00 | session 8.5 | Options, Futures | room G

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. 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.