{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T15:24:04Z","timestamp":1787325844911,"version":"build-2736575974"},"reference-count":18,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"2","funder":[{"DOI":"10.13039\/501100003030","name":"Ag\u00e8ncia de Gesti\u00f3 d\u2019Ajuts Universitaris i de Recerca","doi-asserted-by":"publisher","award":["2025 FI-1 00580"],"award-info":[{"award-number":["2025 FI-1 00580"]}],"id":[{"id":"10.13039\/501100003030","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004895","name":"European Social Fund Plus","doi-asserted-by":"crossref","id":[{"id":"10.13039\/501100004895","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2026,6,30]]},"abstract":"<jats:p>Abstract.<\/jats:p>\n                  <jats:p>In this paper we obtain expressions for the short-time behavior of the at-the-money implied volatility (ATM-IV) level and skew for a jump-diffusion asset price. The diffusion part is assumed to be the stochastic volatility Bachelier model and the jumps are modeled by a pure-jump L\u00e9vy process with drift so that the asset price is a martingale. Regarding the level, we show that the short-time behavior of the ATM-IV level is the same for all pure-jump L\u00e9vy processes, and, regarding the skew, we give conditions on the law of the jumps for the skew to exist. To do so, we combine Malliavin calculus techniques to obtain the formulas for the compound Poisson case, and, using an adequate approximation scheme, we extend the formulas for L\u00e9vy processes with infinite activity, including some cases of L\u00e9vy processes with infinite variation paths. We also provide numerical evidence that confirm the theoretical results found in the paper.<\/jats:p>","DOI":"10.1137\/25m1776615","type":"journal-article","created":{"date-parts":[[2026,6,4]],"date-time":"2026-06-04T08:00:47Z","timestamp":1780560047000},"page":"646-675","source":"Crossref","is-referenced-by-count":1,"title":["Short-Time Behavior of the At-the-Money Implied Volatility for the Jump-Diffusion Stochastic Volatility Bachelier Model"],"prefix":"10.1137","volume":"17","author":[{"given":"Elisa","family":"Al\u00f2s","sequence":"first","affiliation":[{"name":"Universitat Pompeu Fabra; and Department of Economics and Business, Barcelona School of Economics, 08005 Barcelona, Spain."}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"\u00d2scar","family":"Bur\u00e9s","sequence":"additional","affiliation":[{"name":"Departament de Matem\u00e0tica Econ\u00f2mica, Financera i Actuarial, Universitat de Barcelona, 08034 Barcelona, Spain."}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6279-1085","authenticated-orcid":true,"given":"Josep","family":"Vives","sequence":"additional","affiliation":[{"name":"Departament de Matem\u00e0tica Econ\u00f2mica, Financera i Actuarial; and Institut de Matem\u00e0tiques de la Universitat de Barcelona, 08007 Barcelona, Spain."}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2026,6,4]]},"reference":[{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.1201\/9781003018681"},{"key":"ref2","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-007-0049-1"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024925500037"},{"key":"ref4","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-019-00384-5"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"ref6","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1099717"},{"key":"ref7","doi-asserted-by":"publisher","DOI":"10.1002\/fut.22315"},{"key":"ref8","volume-title":"Financial Modelling with Jump Processes","author":"Cont R.","year":"2004"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-015-0281-z"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-016-0313-3"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1080\/1350486X.2016.1197041"},{"key":"ref12","first-page":"249","volume":"1","author":"Hagan P. 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