Armstrong, John; Forde, Martin; Lorig, Matthew; Zhang, … - arXiv.org - 2013
We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model, with mild linear growth conditions on the drift and vol-of-vol. For this we use the Bellaiche\cite{Bel81} heat kernel expansion combined with Laplace's method to...