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Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models.

Gerhold S, Gülüm IC, Pinter A. Gerhold S, et al. Appl Math Finance. 2016 Mar 3;23(2):135-157. doi: 10.1080/1350486X.2016.1197041. Epub 2016 Jun 30. Appl Math Finance. 2016. PMID: 27660537 Free PMC article.

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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model.

Zheng W, Zeng P. Zheng W, et al. Appl Math Finance. 2016 Sep 2;23(5):344-373. doi: 10.1080/1350486X.2017.1285242. Epub 2017 Feb 6. Appl Math Finance. 2016. PMID: 28706460 Free PMC article.

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