SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL

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SMALL-TIME ASYMPTOTICS FOR FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (2010, background): “Semi closed form expressions for short time implied volatilities have been obtained in [15].”
Short-time near-the-money skew in rough fractional volatility models (2017, background): “Forde and Jacquier 2009; Pham 2010; Forde and Zhang 2017) with the ‘moderate’ caveat to carry along a factor ε2β . In fact, this is follows precisely the argument of Forde and Zhang (2017) where the authors carry along a factor ε̂/ε = ε2H−1. (This provides a unified view on rough and moderate deviat”
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, unknown): “, [71], [73], [74], [75], [77], [91], [49], [121], [50].”
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].”