HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS

DOI10.1111/mafi.12064zbMath1348.91268arXiv1208.5520OpenAlexW2114593441MaRDI QIDQ5739188

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

Publication date: 15 July 2016

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

Full work available at URL: https://arxiv.org/abs/1208.5520

zbMATH Keywords

short-time asymptoticsimplied volatilityexponential Lévy modelsat-the-money option pricingCGMY and tempered stable models

Mathematics Subject Classification ID

Related Items (10)

Analytic techniques for option pricing under a hyperexponential Lévy model ⋮ Estimation of tempered stable Lévy models of infinite variation ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ The economics of time as it is embedded in the prices of options§ ⋮ Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion ⋮ Third-order short-time expansions for close-to-the-money option prices under the CGMY model ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ Nonparametric spot volatility from options ⋮ Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

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