Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps

José E. Figueroa-López, Sveinn Ólafsson. Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. Finance and Stochastics, 20(4):973-1020, 2016. [doi]

Abstract

Abstract is missing.