Derive an approximate expression (to O(T) ) for the implied ATM volatility on a stock entirely driven
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Derive an approximate expression (to O(√T) ) for the implied ATM volatility on a stock entirely driven by jump to zero (i.e. zero diffusion vol). Discuss how one might exploit an implied volatility quote below this level.
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Related Book For 
The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market
ISBN: 9781848167728,9781908979582
1st Edition
Authors: George Kaye
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