Small-time moment asymptotics for Lévy processes

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SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009, background): “Our results also provide a good way of checking for the presence of jumps; if there is an additional exponentiated Lévy process driving the stock price process, then the small-time implied volatility smile will tend to an “infinite-V” shape as t → 0 (see Carr&Wu [6], Figueroa-Lopez [13] and Roper [3”
Estimation of the characteristics of a Lévy process observed at arbitrary frequency (2010, unknown): “1 in [8].”
Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009, methodology): “rather converge to 0 at a proper rate (see [ 15 ] for more details).”
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, unknown): “, [67], [98], [107], [44], [45], [84], [18].”