Small-maturity digital options in Lévy models: an analytic approach (Q493621)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Small-maturity digital options in Lévy models: an analytic approach |
scientific article; zbMATH DE number 6478478
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-maturity digital options in Lévy models: an analytic approach |
scientific article; zbMATH DE number 6478478 |
Statements
Small-maturity digital options in Lévy models: an analytic approach (English)
0 references
3 September 2015
0 references
Lévy processes
0 references
small-time Tauberian theorem
0 references
transition probabilities
0 references
characteristic functions
0 references
digital options
0 references
implied volatility slopes
0 references
Spitzer's condition
0 references
0 references
0 references
