Small time expansions for transition probabilities of some Lévy processes

DOI10.1214/ECP.v14-1452zbMath1192.60071MaRDI QIDQ1038944

Philippe Marchal

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225224

zbMATH Keywords

Lévy processtransition probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Transition functions, generators and resolvents (60J35)

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Non-asymptotic control of the cumulative distribution function of Lévy processes ⋮ Small-time expansions for local jump-diffusion models with infinite jump activity ⋮ Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps ⋮ Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ Small-time expansions for the transition distributions of Lévy processes

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