The Small-Maturity Smile for Exponential Lévy Models
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Publication:4902204
DOI10.1137/110820658zbMath1257.91046arXiv1105.3180OpenAlexW2157862993MaRDI QIDQ4902204
José E. Figueroa-López, Martin Forde
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.3180
option pricingshort-time asymptoticsimplied volatilityexponential Lévy modelstime-changed Lévy models
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems in probability theory (60F99)
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