Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (Q4635252)
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scientific article; zbMATH DE number 6860077
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility |
scientific article; zbMATH DE number 6860077 |
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Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (English)
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16 April 2018
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leverage
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ETF
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implied volatility
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Lévy models
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local volatility
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small-time asymptotics
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