A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (Q2788693)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS |
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A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (English)
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22 February 2016
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exponential Lévy models
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Blumenthal-Getoor index
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short-dated options
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implied volatility
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asymptotic behavior
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Lévy process with jumps of (finite) infinite variations
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Lévy measure
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exponential strike
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log-strike
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put-call symmetry
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