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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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0111 · Mar 202519922001200920172026
1 result for “ATM-IV”
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier modelq-fin.MF

Study on short-term behavior of ATM-IV for jump-diffusion model.

problem Analyzing the short-time behavior of ATM-IV for a specific stochastic volatility model.
method Used Malliavin Calculus techniques to derive expressions for ATM-IV level and skew.
result Short-time behavior of ATM-IV level is consistent for all pure-jump Lévy processes.
Malliavin CalculusJump-diffusion modelStochastic volatilityATM-IVShort-time behavior
2025-03-28abs ↗pdf ↗