SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS

DOI10.1142/S0219024915500259zbMath1337.91052MaRDI QIDQ5265240

Bing Lu, Erik Ekström

Publication date: 23 July 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

implied volatilityexponential Lévy modelsshort-time asymptotic behavior

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Monotonicity of implied volatility for perpetual put options

Cites Work

• Unnamed Item
• Integro-differential equations for option prices in exponential Lévy models
• Approximations of small jumps of Lévy processes with a view towards simulation
• Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
• Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The Small-Maturity Smile for Exponential Lévy Models
• The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
• ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

This page was built for publication: SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS