Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity

DOI10.1016/j.spa.2018.02.001zbMath1417.60071arXiv1505.04459OpenAlexW1923198171MaRDI QIDQ1630666

José E. Figueroa-López, Yankeng Luo

Publication date: 10 December 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04459

zbMATH Keywords

option pricingshort-time asymptoticsstochastic differential equations with jumpslocal jump-diffusion Markov models

Mathematics Subject Classification ID

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