On the implied volatility skew outside the at-the-money point
推导出价内和价外隐含波动率偏斜的首阶通用公式，并应用于Heston模型、指数Lévy模型等，为金融从业者理解期权定价中的波动率偏斜提供理论工具。
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 novel general formula for the leading order of the in-the-money and out-of-the money (ITM/OTM) implied volatility skew. We apply this formula to find expressions of the small maturity limiting skew of the Heston stochastic volatility model, of exponential Lévy models and their time changes, as well as that of some recently proposed pricing models with independent log returns.