Small-maturity digital options in Lévy models: an analytic approach (Q493621)
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scientific article; zbMATH DE number 6478478
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| English | Small-maturity digital options in Lévy models: an analytic approach |
scientific article; zbMATH DE number 6478478 |
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Small-maturity digital options in Lévy models: an analytic approach (English)
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3 September 2015
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Lévy processes
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small-time Tauberian theorem
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transition probabilities
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characteristic functions
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digital options
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implied volatility slopes
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Spitzer's condition
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0.8270675539970398
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0.7679620981216431
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0.7657880783081055
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0.7521433234214783
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0.7493439316749573
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