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
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| English | Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility |
scientific article; zbMATH DE number 6860077 |
Statements
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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0.837886393070221
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0.8228241801261902
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0.8054668307304382
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0.7909044623374939
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0.7617445588111877
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