Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

DOI10.1007/S00780-015-0281-ZzbMath1369.91179arXiv1404.0601OpenAlexW1918610743MaRDI QIDQ261928

José E. Figueroa-López, Sveinn Ólafsson

Publication date: 29 March 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.0601

zbMATH Keywords

short-time asymptoticsimplied volatilityATM option pricingexponential Lévy modelsstochastic volatility models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems in probability theory (60F99)

Related Items (10)

Estimation of tempered stable Lévy models of infinite variation ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Asymptotics for Rough Stochastic Volatility Models ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ Bias reduction in spot volatility estimation from options ⋮ Third-order short-time expansions for close-to-the-money option prices under the CGMY model ⋮ Nonparametric implied Lévy densities ⋮ Nonparametric spot volatility from options ⋮ Second-order properties of thresholded realized power variations of FJA additive processes

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