Third-order short-time expansions for close-to-the-money option prices under the CGMY model

DOI10.1080/1350486X.2018.1429935zbMath1398.91586arXiv1305.4719MaRDI QIDQ5373916

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

Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.4719

zbMATH Keywords

short-time asymptotics; implied volatility; ATM option pricing; exponential Lévy models; CGMY models; close-to-the-money option pricing

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime, Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model, Third-order short-time expansions for close-to-the-money option prices under the CGMY model, Estimation of tempered stable Lévy models of infinite variation

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