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- W1601643047 abstract "The main result of the paper is a formula for zero time-to-maturity limit of implied volatilities of European options under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in stochastic volatility." @default.
- W1601643047 created "2016-06-24" @default.
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- W1601643047 date "2008-01-01" @default.
- W1601643047 modified "2023-09-25" @default.
- W1601643047 title "Implied Volatility at Expiration" @default.
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- W1601643047 doi "https://doi.org/10.2139/ssrn.1090200" @default.
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