ROPER, MICHAEL; RUTKOWSKI, MAREK - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 427-441
We examine the asymptotic behaviour of the call price surface and the associated Black-Scholes implied volatility surface in the small time to expiry limit under the condition of no arbitrage. In the final section, we examine a related question of existence of a market model with non-convergent...