ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

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Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Parallel to these convergent series, for one-factor models Henry-Labordere (2005); Gatheral et al. (2012) obtain asymptotic expansions for short-term option prices.”
Implied Stochastic Volatility Models (2020, unknown): “Literature • Many empirical studies: Bates (2000), Chernov et al. (2003), ÄıtSahalia and Kimmel (2007), Christoffersen et al.”
Small-Time Asymptotics of Option Prices and First Absolute Moments (2010, background): “Due to their importance for model calibration and testing, small-time asymptotics of option prices have received considerable attention in recent years; see [2, 5, 6, 7, 10, 11, 12, 13, 14, 15, 16, 17, 22, 24].”
Short-time at-the-money skew and rough fractional volatility (2015, background): “In this direction, as already mentioned, Gatheral et al. (2014) found that modeling the log volatility with W H , H ∈ (0, 1/2), is consistent with the scaling law observed in volatility times series.”
Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (2011, unknown): “x0; y/; the resulting expansion was derived (with explicit constant c0) in [17].”