Small-Time Asymptotics of Option Prices and First Absolute Moments

DOI10.1239/jap/1324046015zbMath1229.91321arXiv1006.2294OpenAlexW2150708803MaRDI QIDQ3108470

Johannes Muhle-Karbe, Marcel Nutz

Publication date: 4 January 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2294

zbMATH Keywords

small-time asymptoticsoption priceabsolute momentapproximation by Lévy processes

Mathematics Subject Classification ID

Related Items (23)

SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Option pricing in the moderate deviations regime ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Small-time expansions for local jump-diffusion models with infinite jump activity ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Asymptotic and exact pricing of options on variance ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ The economics of time as it is embedded in the prices of options§ ⋮ Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Third-order short-time expansions for close-to-the-money option prices under the CGMY model ⋮ Nonparametric implied Lévy densities ⋮ Asymptotic power utility-based pricing and hedging ⋮ HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS ⋮ A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS ⋮ Large-maturity regimes of the Heston forward smile ⋮ Nonparametric spot volatility from options ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Asymptotics of Forward Implied Volatility ⋮ The fine structure of equity-index option dynamics ⋮ Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

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