HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188)
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scientific article; zbMATH DE number 6603658
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS |
scientific article; zbMATH DE number 6603658 |
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HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (English)
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15 July 2016
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exponential Lévy models
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CGMY and tempered stable models
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short-time asymptotics
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at-the-money option pricing
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implied volatility
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