The small-maturity implied volatility of an asset pricing model is fully determined by the asymptotics of traded option prices, and thus model-free expressions are available. We show how by sharpening one such expression it is possible to derive a general formula for the leading order of the...

We propose a fully explicit and empirically sound option pricing model based on additive processes. The model yields analytic closed formulae for pricing vanilla options, is easy to calibrate and simulate, and fits very well the market implied volatility at an extremely low computational cost....