Small-maturity digital options in Lévy models: an analytic approach

DOI10.1007/s10986-015-9275-yzbMath1321.60093OpenAlexW285813981MaRDI QIDQ493621

Stefan Gerhold

Publication date: 3 September 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-015-9275-y

zbMATH Keywords

Lévy processescharacteristic functionstransition probabilitiesdigital optionsimplied volatility slopessmall-time Tauberian theoremSpitzer's condition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

On a small-time limit behavior of the probability that a Lévy process stays positive ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

Cites Work

• Asymptotic results for time-changed Lévy processes sampled at hitting times
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• Small-time expansions for the transition distributions of Lévy processes
• Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models

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