{"id":"https://openalex.org/W3188599834","doi":"https://doi.org/10.1007/s10479-022-04894-y","title":"Short-time implied volatility of additive normal tempered stable processes","display_name":"Short-time implied volatility of additive normal tempered stable processes","publication_year":2022,"publication_date":"2022-09-05","ids":{"openalex":"https://openalex.org/W3188599834","doi":"https://doi.org/10.1007/s10479-022-04894-y","mag":"3188599834"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-022-04894-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-022-04894-y","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1007/s10479-022-04894-y","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5062594002","display_name":"Michele Azzone","orcid":"https://orcid.org/0000-0002-0517-796X"},"institutions":[{"id":"https://openalex.org/I153515283","display_name":"European Central Bank","ror":"https://ror.org/00ajckn66","country_code":"DE","type":"government","lineage":["https://openalex.org/I1320481043","https://openalex.org/I153515283"]},{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["DE","IT"],"is_corresponding":false,"raw_author_name":"Michele Azzone","raw_affiliation_strings":["Department of Mathematics, Politecnico di Milano, 32 p.zza Leonardo da Vinci, 20133, Milan, Italy","European Central Bank, Sonnemann strasse 20, 60314, Frankfurt am main, Germany"],"raw_orcid":"https://orcid.org/0000-0002-0517-796X","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Politecnico di Milano, 32 p.zza Leonardo da Vinci, 20133, Milan, Italy","institution_ids":["https://openalex.org/I93860229"]},{"raw_affiliation_string":"European Central Bank, Sonnemann strasse 20, 60314, Frankfurt am main, Germany","institution_ids":["https://openalex.org/I153515283"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5067226153","display_name":"Roberto Baviera","orcid":"https://orcid.org/0000-0002-8557-979X"},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Roberto Baviera","raw_affiliation_strings":["Department of Mathematics, Politecnico di Milano, 32 p.zza Leonardo da Vinci, 20133, Milan, Italy","Polytechnic University of Milan"],"raw_orcid":"https://orcid.org/0000-0002-8557-979X","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Politecnico di Milano, 32 p.zza Leonardo da Vinci, 20133, Milan, Italy","institution_ids":["https://openalex.org/I93860229"]},{"raw_affiliation_string":"Polytechnic University of Milan","institution_ids":["https://openalex.org/I93860229"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":{"value":2390,"currency":"EUR","value_usd":2990},"fwci":0.2117,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.50721775,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"336","issue":"1-2","first_page":"93","last_page":"126"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.7304547429084778},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.6911312341690063},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6822046041488647},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6453835964202881},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.6197976469993591},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5321663618087769},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5300614237785339},{"id":"https://openalex.org/keywords/skew","display_name":"Skew","score":0.47462284564971924},{"id":"https://openalex.org/keywords/square-root","display_name":"Square root","score":0.4269246459007263},{"id":"https://openalex.org/keywords/scaling","display_name":"Scaling","score":0.4267251491546631},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.41887959837913513},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.41640517115592957},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.15791305899620056},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.09475481510162354},{"id":"https://openalex.org/keywords/law","display_name":"Law","score":0.07307544350624084}],"concepts":[{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.7304547429084778},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.6911312341690063},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6822046041488647},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6453835964202881},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.6197976469993591},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5321663618087769},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5300614237785339},{"id":"https://openalex.org/C43711488","wikidata":"https://www.wikidata.org/wiki/Q7534783","display_name":"Skew","level":2,"score":0.47462284564971924},{"id":"https://openalex.org/C11577676","wikidata":"https://www.wikidata.org/wiki/Q134237","display_name":"Square root","level":2,"score":0.4269246459007263},{"id":"https://openalex.org/C99844830","wikidata":"https://www.wikidata.org/wiki/Q102441924","display_name":"Scaling","level":2,"score":0.4267251491546631},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.41887959837913513},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.41640517115592957},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.15791305899620056},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.09475481510162354},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.07307544350624084},{"id":"https://openalex.org/C1276947","wikidata":"https://www.wikidata.org/wiki/Q333","display_name":"Astronomy","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1007/s10479-022-04894-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-022-04894-y","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2108.02447","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2108.02447","pdf_url":"https://arxiv.org/pdf/2108.02447","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:re.public.polimi.it:11311/1220488","is_oa":true,"landing_page_url":"http://hdl.handle.net/11311/1220488","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-022-04894-y.pdf","source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:arx:papers:2108.02447","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04894-y","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-022-04894-y","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:econstor.eu:10419/319156","is_oa":true,"landing_page_url":"https://hdl.handle.net/10419/319156","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"doc-type:article"},{"id":"doi:10.48550/arxiv.2108.02447","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2108.02447","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10479-022-04894-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-022-04894-y","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.4099999964237213,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320324039","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W125880370","https://openalex.org/W1499969990","https://openalex.org/W1502367340","https://openalex.org/W1998921923","https://openalex.org/W2005711104","https://openalex.org/W2015387601","https://openalex.org/W2050067494","https://openalex.org/W2077104943","https://openalex.org/W2109082027","https://openalex.org/W2114593441","https://openalex.org/W2136243007","https://openalex.org/W2148080284","https://openalex.org/W2148334170","https://openalex.org/W2150708803","https://openalex.org/W2157862993","https://openalex.org/W2161673224","https://openalex.org/W2166831536","https://openalex.org/W2744463887","https://openalex.org/W2797641211","https://openalex.org/W2963275658","https://openalex.org/W2972691140","https://openalex.org/W3021131124","https://openalex.org/W3087046624","https://openalex.org/W3094352506","https://openalex.org/W3122814119","https://openalex.org/W3124875579","https://openalex.org/W3125732723","https://openalex.org/W3196470884","https://openalex.org/W4211192810","https://openalex.org/W4255890684","https://openalex.org/W6805607861"],"related_works":["https://openalex.org/W3191959320","https://openalex.org/W1945876726","https://openalex.org/W2110500025","https://openalex.org/W2241435895","https://openalex.org/W3121334725","https://openalex.org/W3123282203","https://openalex.org/W2933075752","https://openalex.org/W2890196216","https://openalex.org/W2923288173","https://openalex.org/W3124595933","https://openalex.org/W2362507295","https://openalex.org/W1569950097","https://openalex.org/W1551952644","https://openalex.org/W2351442912","https://openalex.org/W2020666693","https://openalex.org/W1500789862","https://openalex.org/W3149896228","https://openalex.org/W3143009269","https://openalex.org/W2064137902","https://openalex.org/W3125295054"],"abstract_inverted_index":{"Abstract":[0],"Empirical":[1],"studies":[2],"have":[3],"emphasized":[4],"that":[5,102,133],"the":[6,19,23,27,31,45,77,91,134,144,147],"equity":[7,46,148],"implied":[8,32,135],"volatility":[9,33,47,136],"is":[10,141],"characterized":[11],"by":[12,52],"a":[13,53],"negative":[14],"skew":[15],"inversely":[16],"proportional":[17],"to":[18,76,90],"square":[20],"root":[21],"of":[22,30,44,55,79,137],"time-to-maturity.":[24],"We":[25],"examine":[26],"short-time-to-maturity":[28],"behavior":[29],"smile":[34,92],"for":[35],"pure":[36],"jump":[37],"exponential":[38],"additive":[39,57,139],"processes.":[40],"An":[41],"excellent":[42],"calibration":[43],"surfaces":[48],"has":[49,95],"been":[50,96],"achieved":[51],"class":[54],"these":[56,138],"processes":[58,140],"with":[59,146],"power-law":[60,64],"scaling.":[61],"The":[62],"two":[63],"scaling":[65],"parameters":[66],"are":[67],"$$\\beta":[68,103,156],"$$":[69,83],"<mml:math":[70,84,105,116,158,169],"xmlns:mml=\"http://www.w3.org/1998/Math/MathML\">":[71,85,106,117,159,170],"<mml:mi>\u03b2</mml:mi>":[72,108,161],"</mml:math>":[73,87,112,126,165,179],",":[74,88],"related":[75,89],"variance":[78],"jumps,":[80],"and":[81,113,153,166],"$$\\delta":[82,114,167],"<mml:mi>\u03b4</mml:mi>":[86,119,172],"asymmetry.":[93],"It":[94],"observed,":[97],"in":[98,143],"option":[99],"market":[100,149],"data,":[101],"=1$$":[104,157],"<mml:mrow>":[107,118,160,171],"<mml:mo>=</mml:mo>":[109,120,162,173],"<mml:mn>1</mml:mn>":[110,122,163,175],"</mml:mrow>":[111,125,164,178],"=-1/2$$":[115,168],"<mml:mo>-</mml:mo>":[121,174],"<mml:mo>/</mml:mo>":[123,176],"<mml:mn>2</mml:mn>":[124,177],".":[127,180],"In":[128],"this":[129],"paper,":[130],"we":[131],"prove":[132],"consistent,":[142],"short-time,":[145],"empirical":[150],"characteristics":[151],"if":[152,155],"only":[154]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}