Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
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Publication:4635252
DOI10.1137/17M1111292zbMath1408.91213arXiv1608.07863WikidataQ115525619 ScholiaQ115525619MaRDI QIDQ4635252
José E. Figueroa-López, Matthew Lorig, Ruoting Gong
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.07863
60G51: Processes with independent increments; Lévy processes
41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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