Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503): Difference between revisions

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.