Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

DOI10.1016/j.spa.2012.01.013zbMath1244.91089arXiv1009.4211OpenAlexW2090136014MaRDI QIDQ424503

Christian Houdré, Ruoting Gong, José E. Figueroa-López

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.4211

zbMATH Keywords

short-time asymptoticsoption pricesstochastic volatility models with jumpstransitions densities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems in probability theory (60F99)

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