Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916): Difference between revisions

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Latest revision as of 10:49, 30 July 2024

scientific article; zbMATH DE number 6856776
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English
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
scientific article; zbMATH DE number 6856776

    Statements

    Third-order short-time expansions for close-to-the-money option prices under the CGMY model (English)
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    6 April 2018
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    exponential Lévy models
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    CGMY models
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    short-time asymptotics
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    close-to-the-money option pricing
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    ATM option pricing
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    implied volatility
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    Identifiers

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