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Short-maturity skew stickiness ratio under local volatilityMasaaki Fukasawa - Graduate School of Engineering Science, The University of Osaka
Date:
Friday, Oct. 30, 2026
9:00 AMLocation:
online
Friday, Oct. 30, 2026
9:00 AMLocation:
online
Short-maturity skew stickiness ratio under local volatilityMasaaki Fukasawa - Graduate School of Engineering Science, The University of Osaka
We prove that the skew stickiness ratio converges to two at short maturity under local volatility models. This appears to be the first rigorous proof of this limit for a general time-dependent local volatility function. As a by-product, we strengthen the one-half rule of the implied volatility skew by removing uniform ellipticity and global bounds on spatial derivatives of order at least two. The proof uses a first-order Watanabe expansion.
Zoom Meeting link: texastech.zoom.us/j/3067000354
Meeting ID: 306 700 0354
Passcode: TTUMF
Zoom Meeting link: texastech.zoom.us/j/3067000354
Meeting ID: 306 700 0354
Passcode: TTUMF
Department of Mathematics & Statistics
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