First-order ATM call-price and IV asymptotics for exponential Lévy models under α-stable domain-of-attraction assumptions (α∈(1,2)), with new convergence rates t^{1/α}ℓ(t) when no Brownian component and universality of √t when Brownian component is present.
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At-the-money short-time call-price asymptotics for new classes of exponential L\'evy models
First-order ATM call-price and IV asymptotics for exponential Lévy models under α-stable domain-of-attraction assumptions (α∈(1,2)), with new convergence rates t^{1/α}ℓ(t) when no Brownian component and universality of √t when Brownian component is present.