The Small-Maturity Smile for Exponential Lévy Models
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Publication:4902204
DOI10.1137/110820658zbMath1257.91046arXiv1105.3180MaRDI QIDQ4902204
José E. Figueroa-López, Martin Forde
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.3180
option pricing; short-time asymptotics; implied volatility; exponential Lévy models; time-changed Lévy models
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
60F99: Limit theorems in probability theory
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