HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS

DOI10.1111/mafi.12064zbMath1348.91268arXiv1208.5520MaRDI QIDQ5739188

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

Publication date: 15 July 2016

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

Full work available at URL: https://arxiv.org/abs/1208.5520

zbMATH Keywords

short-time asymptotics; implied volatility; exponential Lévy models; at-the-money option pricing; CGMY and tempered stable models

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H30: Applications of stochastic analysis (to PDEs, etc.)

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