I seem to remember the implied volatility skew of European options decreases as the expiry increases. It is true for the Heston model under some approximation. What are the good references that prove this property in general, or at least asymptotically?
$\begingroup$
$\endgroup$
1
-
3$\begingroup$ Formula 3.4 here: math.uchicago.edu/~rl/impvol.pdf $\endgroup$– user34971Sep 10, 2022 at 15:42
Add a comment
|