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We examine the short-time-to-maturity behavior of the implied volatility smile for pure jump exponential additive processes. An excellent calibration of the equity volatility surfaces has been achieved by a class of these additive processes with power-law scaling. The two power-law scaling parameters are <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\beta $$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mi>\u03b2<\/mml:mi>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>, related to the variance of jumps, and <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\delta $$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mi>\u03b4<\/mml:mi>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>, related to the smile asymmetry. It has been observed, in option market data, that <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\beta =1$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>\u03b2<\/mml:mi>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:mn>1<\/mml:mn>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula> and <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\delta =-1\/2$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>\u03b4<\/mml:mi>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:mo>-<\/mml:mo>\n                    <mml:mn>1<\/mml:mn>\n                    <mml:mo>\/<\/mml:mo>\n                    <mml:mn>2<\/mml:mn>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>. In this paper, we prove that the implied volatility of these additive processes is consistent, in the short-time, with the equity market empirical characteristics if and only if <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\beta =1$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>\u03b2<\/mml:mi>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:mn>1<\/mml:mn>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula> and <jats:inline-formula><jats:alternatives><jats:tex-math>$$\\delta =-1\/2$$<\/jats:tex-math><mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                  <mml:mrow>\n                    <mml:mi>\u03b4<\/mml:mi>\n                    <mml:mo>=<\/mml:mo>\n                    <mml:mo>-<\/mml:mo>\n                    <mml:mn>1<\/mml:mn>\n                    <mml:mo>\/<\/mml:mo>\n                    <mml:mn>2<\/mml:mn>\n                  <\/mml:mrow>\n                <\/mml:math><\/jats:alternatives><\/jats:inline-formula>.<\/jats:p>","DOI":"10.1007\/s10479-022-04894-y","type":"journal-article","created":{"date-parts":[[2022,9,5]],"date-time":"2022-09-05T11:03:03Z","timestamp":1662375783000},"page":"93-126","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Short-time implied volatility of additive normal tempered stable processes"],"prefix":"10.1007","volume":"336","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0517-796X","authenticated-orcid":false,"given":"Michele","family":"Azzone","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-8557-979X","authenticated-orcid":false,"given":"Roberto","family":"Baviera","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2022,9,5]]},"reference":[{"issue":"4","key":"4894_CR1","doi-asserted-by":"publisher","first-page":"571","DOI":"10.1007\/s00780-007-0049-1","volume":"11","author":"E Al\u00f2s","year":"2007","unstructured":"Al\u00f2s, E., Le\u00f3n, J. 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