Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (Q1630666)
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scientific article; zbMATH DE number 6991422
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| English | Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity |
scientific article; zbMATH DE number 6991422 |
Statements
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (English)
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10 December 2018
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short-time asymptotics
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local jump-diffusion Markov models
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stochastic differential equations with jumps
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option pricing
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0.8774889707565308
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0.8748160600662231
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0.7963962554931641
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0.7309921383857727
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