Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model

DOI10.1080/03610926.2020.1839774OpenAlexW3096771951MaRDI QIDQ5093724

Jing Zhao, Sheng-Hong Li

Publication date: 1 August 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1839774

zbMATH Keywords

short-time asymptoticsimplied volatilitytime-changed Lévy modelsnormal tempered stable modelat-the-money option pricing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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