Small-time expansions for local jump-diffusion models with infinite jump activity
type: Item
instance of: scholarly article
title: Small-time expansions for local jump-diffusion models with infinite jump activity
zbMATH Open document ID: 1304.60083
DOI: 10.3150/13-BEJ518
author: José E. Figueroa-López
author: Yankeng Luo
author: Cheng Ouyang
published in: Bernoulli
publication date: 2014-08-08T00:00:00Z
full work available at URL: https://arxiv.org/abs/1108.3386
full work available at URL: https://projecteuclid.org/euclid.bj/1402488937
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6327906
zbMATH Keywords: local jump-diffusion model
zbMATH Keywords: option pricing
zbMATH Keywords: small-time asymptotic expansion
zbMATH Keywords: transition densities
zbMATH Keywords: transition distributions
MaRDI profile type: Publication
arXiv ID: 1108.3386
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reviewed by: Marius Iosifescu
description: scientific article; zbMATH DE number 6327906