%0 Journal Article
%T Short-time asymptotics for marginal distributions of semimartingales
%A Amel Bentata
%A Rama Cont
%J Quantitative Finance
%D 2012
%I arXiv
%X We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with short maturity in a semimartingale model: whereas the behavior of \textit{out-of-the-money} options is found to be linear in time, the short time asymptotics of \textit{at-the-money} options is shown to depend on the fine structure of the semimartingale.
%U http://arxiv.org/abs/1202.1302v1