Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps

DOI10.1007/s00780-016-0313-3zbMath1349.91268arXiv1502.02595OpenAlexW2171077583MaRDI QIDQ331361

Sveinn Ólafsson, José E. Figueroa-López

Publication date: 27 October 2016

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

Full work available at URL: https://arxiv.org/abs/1502.02595

zbMATH Keywords

exponential Lévy modelsstochastic volatility modelsATM digital call option pricesATM implied volatility slopeshort-term asymptotics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems in probability theory (60F99)

Related Items (9)

Estimation of tempered stable Lévy models of infinite variation ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ Short maturity conditional Asian options in local volatility models ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Nonparametric implied Lévy densities ⋮ Extreme at-the-money skew in a local volatility model ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Volatility has to be rough

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