The small-maturity smile for exponential Lévy models (Q4902204)
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scientific article; zbMATH DE number 6130636
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| default for all languages | No label defined |
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| English | The small-maturity smile for exponential Lévy models |
scientific article; zbMATH DE number 6130636 |
Statements
The Small-Maturity Smile for Exponential Lévy Models (English)
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25 January 2013
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exponential Lévy models
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time-changed Lévy models
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option pricing
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short-time asymptotics
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implied volatility
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0.8354341387748718
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0.825653612613678
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0.8244540095329285
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0.8077510595321655
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