Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916)
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scientific article; zbMATH DE number 6856776
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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