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

@@ Property / author @@
-Cheng Ouyang
@@ Property / author: Cheng Ouyang / rank @@
-Normal rank
@@ Property / author @@
+Cheng Ouyang
@@ Property / author: Cheng Ouyang / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J60
@@ Property / Mathematics Subject Classification ID: 60J60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6327906
@@ Property / zbMATH DE Number: 6327906 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+local jump-diffusion model
@@ Property / zbMATH Keywords: local jump-diffusion model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+small-time asymptotic expansion
@@ Property / zbMATH Keywords: small-time asymptotic expansion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transition densities
@@ Property / zbMATH Keywords: transition densities / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transition distributions
@@ Property / zbMATH Keywords: transition distributions / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3386
@@ Property / arXiv ID: 1108.3386 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Is Brownian motion necessary to model high-frequency data?
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
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+Q3996311
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+Normal rank
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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
+Normal rank
@@ Property / cites work @@
+Small-time expansions for local jump-diffusion models with infinite jump activity
+Normal rank
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+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
+Normal rank
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
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+Asymptotic behavior of the transition density for jump type processes in small time
+Normal rank
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+Density estimate in small time for jump processes with singular Lévy measures
+Normal rank
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+Q4725453
@@ Property / cites work: Q4725453 / rank @@
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+Q4114577
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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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+Q4842684
@@ Property / cites work: Q4842684 / rank @@
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@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
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+On the existence of smooth densities for jump processes
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+Density in small time at accessible points for jump processes
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+Q3549479
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+Q4435813
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+Expansion of transition distributions of Lévy processes in small time
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+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
+Normal rank
@@ Property / cites work @@
+Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:395997