Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503): Difference between revisions
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English | Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps |
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Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (English)
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1 June 2012
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Consider a diffusion-driven stochastic volatility model, augmented by an independent pure-jump Lévy process. In this setting, the authors derive small-time expansions, of arbitrary order, for the tails of the distribution function and in turn the prices of out-of-the-money call options and the transition density of the process at hand. These results are derived under the assumption that the Lévy measure admits a smooth density away from the origin, and that a small-time large deviation principle holds for the continuous component.
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stochastic volatility models with jumps
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short-time asymptotics
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transitions densities
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option prices
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