HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188)

From MaRDI portal
scientific article; zbMATH DE number 6603658
Language Label Description Also known as
English
HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
scientific article; zbMATH DE number 6603658

    Statements

    HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (English)
    0 references
    0 references
    0 references
    15 July 2016
    0 references
    exponential Lévy models
    0 references
    CGMY and tempered stable models
    0 references
    short-time asymptotics
    0 references
    at-the-money option pricing
    0 references
    implied volatility
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references