Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997): Difference between revisions

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-Cheng Ouyang
@@ Property / author: Cheng Ouyang / rank @@
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+MaRDI publication profile
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+.3386
@@ Property / arXiv ID: 1108.3386 / rank @@
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@@ Property / cites work @@
+Testing for jumps in a discretely observed process
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+Is Brownian motion necessary to model high-frequency data?
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+Lévy Processes and Stochastic Calculus
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+Computing the implied volatility in stochastic volatility models
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+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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+The Small-Maturity Smile for Exponential Lévy Models
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+Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
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+Small-time expansions for the transition distributions of Lévy processes
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+Small-time expansions for local jump-diffusion models with infinite jump activity
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+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Asymptotic behavior of the transition density for jump type processes in small time
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+Density estimate in small time for jump processes with singular Lévy measures
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+American and European options in multi-factor jump-diffusion models, near expiry
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+Small time expansions for transition probabilities of some Lévy processes
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+Small-Time Asymptotics of Option Prices and First Absolute Moments
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+Applied stochastic control of jump diffusions.
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+Expansion of transition distributions of Lévy processes in small time
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+Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
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