Third-order short-time expansions for close-to-the-money option prices under the CGMY model
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Publication:5373916
DOI10.1080/1350486X.2018.1429935zbMath1398.91586arXiv1305.4719OpenAlexW1658350044MaRDI QIDQ5373916
José E. Figueroa-López, Ruoting Gong, Christian Houdré
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.4719
short-time asymptoticsimplied volatilityATM option pricingexponential Lévy modelsCGMY modelsclose-to-the-money option pricing
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Estimation of tempered stable Lévy models of infinite variation, Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model, Third-order short-time expansions for close-to-the-money option prices under the CGMY model, Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime
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