Third-order short-time expansions for close-to-the-money option prices under the CGMY model

DOI10.1080/1350486X.2018.1429935zbMath1398.91586arXiv1305.4719OpenAlexW1658350044MaRDI QIDQ5373916

José E. Figueroa-López, Ruoting Gong, Christian Houdré

Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.4719

zbMATH Keywords

short-time asymptoticsimplied volatilityATM option pricingexponential Lévy modelsCGMY modelsclose-to-the-money option pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Estimation of tempered stable Lévy models of infinite variation ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Third-order short-time expansions for close-to-the-money option prices under the CGMY model ⋮ Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime

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