quant research // summarizing the paperLOADING
Masaaki Fukasawa · 2026-09-10
A plain-English AI summary of what this paper means for investors — generated on demand from the abstract.
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.
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AI summary generated from the paper’s public abstract via arXiv; it may miss nuance — read the source before relying on it. Thank you to arXiv for its open-access interoperability; StockTools is not affiliated with arXiv, and all rights remain with the authors. Educational only, not financial advice.