Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (Q5093724)
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scientific article; zbMATH DE number 7565500
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model |
scientific article; zbMATH DE number 7565500 |
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Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (English)
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1 August 2022
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normal tempered stable model
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time-changed Lévy models
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at-the-money option pricing
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short-time asymptotics
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implied volatility
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