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Short-term at-the-money asymptotics under stochastic volatility models. (arXiv:1801.08675v1 [q-fin.CP])

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A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for at-the-money implied volatility skew and curvature is also given as a corollary. The rough Bergomi model is treated as an example.


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