HIGHLIGHTS
- who: Michele Azzone from the Department of Mathematics, Politecnico di Milano, pzza Leonardo da Vinci, Milan, Italy have published the article: Short-time implied volatility of additive normal tempered stable processes, in the Journal: (JOURNAL)
- what: The authors examine the behavior of the smile for pure jump exponential processes. The authors show that a pure jump additive process, which also calibrates accurately the whole equity volatility surface, reproduces the power scaling market skew. The authors focus on a pure jump additive extension of the well-known Lu00e9vy normal tempered stable process (for a comprehensive description . . .
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