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- W3126014373 abstract "We examine the asymptotic behaviour of the call price surface and the associated Black-Scholes implied volatility surface in the small time to expiry limit under the condition of no arbitrage. In the final section, we examine a related question of existence of a market model with non-convergent implied volatility. We show that there exist arbitrage free markets in which implied volatility may fail to converge to any value, finite or infinite." @default.
- W3126014373 created "2021-02-01" @default.
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- W3126014373 date "2009-06-01" @default.
- W3126014373 modified "2023-09-24" @default.
- W3126014373 title "On the Relationship between the Call Price Surface and the Implied Volatility Surface Close to Expiry" @default.
- W3126014373 hasPublicationYear "2009" @default.
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