Small-time expansions for local jump-diffusion models with infinite jump activity
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Publication:395997
DOI10.3150/13-BEJ518zbMath1304.60083arXiv1108.3386MaRDI QIDQ395997
Yankeng Luo, José E. Figueroa-López, Cheng Ouyang
Publication date: 8 August 2014
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.3386
option pricingsmall-time asymptotic expansiontransition densitieslocal jump-diffusion modeltransition distributions
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