发表机构
The University of Osaka（大阪大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文严格证明了局部波动率模型下短期限偏斜粘性比率收敛于2，并强化了隐含波动率偏斜规则，采用Watanabe一阶展开方法。
AI 中文摘要
我们证明了在局部波动率模型下，偏斜粘性比率在短期限时收敛于2。这似乎是针对一般时变局部波动率函数这一极限的首个严格证明。作为副产品，我们通过去除一致椭圆性和对至少二阶空间导数的全局有界性要求，强化了隐含波动率偏斜的二分之一规则。证明使用了Watanabe一阶展开。
英文摘要
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.
