Third-order short-time expansions for close-to-the-money option prices under the CGMY model
From MaRDI portal
Publication:5373916
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
short-time asymptotics; implied volatility; ATM option pricing; exponential Lévy models; CGMY models; close-to-the-money option pricing
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.)
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