{"id":"https://openalex.org/W2784605498","doi":"https://doi.org/10.1137/18m1167565","title":"Short-Term At-the-Money Asymptotics under Stochastic Volatility Models","display_name":"Short-Term At-the-Money Asymptotics under Stochastic Volatility Models","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2784605498","doi":"https://doi.org/10.1137/18m1167565","mag":"2784605498"},"language":"en","primary_location":{"id":"doi:10.1137/18m1167565","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1167565","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.3111471","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5013330642","display_name":"Omar El Euch","orcid":"https://orcid.org/0000-0001-7107-8946"},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Omar El Euch","raw_affiliation_strings":["Ecole Polytechnique, Paris"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ecole Polytechnique, Paris","institution_ids":["https://openalex.org/I142476485"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5006305714","display_name":"Masaaki Fukasawa","orcid":"https://orcid.org/0000-0002-0848-5001"},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"The University of Osaka","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Masaaki Fukasawa","raw_affiliation_strings":["Osaka University","Osaka -University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Osaka University","institution_ids":["https://openalex.org/I98285908"]},{"raw_affiliation_string":"Osaka -University","institution_ids":["https://openalex.org/I98285908"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5028270155","display_name":"Jim Gatheral","orcid":"https://orcid.org/0000-0002-0192-8797"},"institutions":[{"id":"https://openalex.org/I141810926","display_name":"Baruch College","ror":"https://ror.org/023qavy03","country_code":"US","type":"education","lineage":["https://openalex.org/I141810926"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jim Gatheral","raw_affiliation_strings":["CUNY Baruch College"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CUNY Baruch College","institution_ids":["https://openalex.org/I141810926"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5104884518","display_name":"Mathieu Rosenbaum","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mathieu Rosenbaum","raw_affiliation_strings":["Ecole Polytechnique, Palaiseau"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ecole Polytechnique, Palaiseau","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5013330642"],"corresponding_institution_ids":["https://openalex.org/I142476485"],"apc_list":null,"apc_paid":null,"fwci":0.6284,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.71575329,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":96},"biblio":{"volume":"10","issue":"2","first_page":"491","last_page":"511"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"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":0.9987999796867371,"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":0.9948999881744385,"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":0.9853000044822693,"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/corollary","display_name":"Corollary","score":0.7951279282569885},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.684813916683197},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.6484761238098145},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6450897455215454},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6403646469116211},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5914312601089478},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.5892845392227173},{"id":"https://openalex.org/keywords/skew","display_name":"Skew","score":0.5536813139915466},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5449754595756531},{"id":"https://openalex.org/keywords/term","display_name":"Term (time)","score":0.4769255518913269},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4278481602668762},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.423168420791626},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.4210968017578125},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.11926272511482239},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.09235623478889465}],"concepts":[{"id":"https://openalex.org/C2780012671","wikidata":"https://www.wikidata.org/wiki/Q1343870","display_name":"Corollary","level":2,"score":0.7951279282569885},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.684813916683197},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.6484761238098145},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6450897455215454},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6403646469116211},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5914312601089478},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5892845392227173},{"id":"https://openalex.org/C43711488","wikidata":"https://www.wikidata.org/wiki/Q7534783","display_name":"Skew","level":2,"score":0.5536813139915466},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5449754595756531},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.4769255518913269},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4278481602668762},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.423168420791626},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.4210968017578125},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.11926272511482239},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.09235623478889465},{"id":"https://openalex.org/C76155785","wikidata":"https://www.wikidata.org/wiki/Q418","display_name":"Telecommunications","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1137/18m1167565","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1167565","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.3111471","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3111471","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1801.08675","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1801.08675","pdf_url":"https://arxiv.org/pdf/1801.08675","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":"","raw_type":"text"},{"id":"mag:3122427688","is_oa":false,"landing_page_url":"https://ideas.repec.org/p/arx/papers/1801.08675.html","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":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:1801.08675","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":"doi:10.48550/arxiv.1801.08675","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1801.08675","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":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.3111471","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3111471","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1497849985","https://openalex.org/W1502367340","https://openalex.org/W1545370368","https://openalex.org/W1592539375","https://openalex.org/W1818596086","https://openalex.org/W1893365611","https://openalex.org/W1952629150","https://openalex.org/W1980610791","https://openalex.org/W1996235306","https://openalex.org/W2029197183","https://openalex.org/W2030511404","https://openalex.org/W2092573981","https://openalex.org/W2109082027","https://openalex.org/W2171077583","https://openalex.org/W2544557490","https://openalex.org/W2601853346","https://openalex.org/W2698604822","https://openalex.org/W3021131124","https://openalex.org/W3098490315","https://openalex.org/W3121364901","https://openalex.org/W3121590639","https://openalex.org/W3122902032","https://openalex.org/W3124836978","https://openalex.org/W3124875579","https://openalex.org/W3125732723"],"related_works":["https://openalex.org/W3122427688","https://openalex.org/W2171077583","https://openalex.org/W2951416929","https://openalex.org/W2971448391","https://openalex.org/W1748128690","https://openalex.org/W203852892","https://openalex.org/W1012682884","https://openalex.org/W3125479236","https://openalex.org/W3125897111","https://openalex.org/W3125159271","https://openalex.org/W3021993796","https://openalex.org/W1977262664","https://openalex.org/W2264928482","https://openalex.org/W3126014373","https://openalex.org/W1990724972","https://openalex.org/W3123605164","https://openalex.org/W1539803911","https://openalex.org/W2169528207","https://openalex.org/W2319891586","https://openalex.org/W2952593767"],"abstract_inverted_index":null,"counts_by_year":[{"year":2020,"cited_by_count":2}],"updated_date":"2026-06-07T08:38:57.713557","created_date":"2025-10-10T00:00:00"}