Short-time implied volatility of additive normal tempered stable processes

DOI10.1007/S10479-022-04894-YzbMATH Open1537.91308MaRDI QIDQ6549591FDOQ6549591

Authors: Michele Azzone, Roberto Baviera 

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Recommendations

• Additive normal tempered stable processes for equity derivatives and power-law scaling
• A new look at short-term implied volatility in asset price models with jumps
• Short-time at-the-money skew and rough fractional volatility
• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
• Short-time implied volatility in exponential Lévy models

zbMATH Keywords

calibrationadditive processskewvolatility surfacesmall-time

Mathematics Subject Classification ID

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

Cites Work

• Approximations of small jumps of Lévy processes with a view towards simulation
• The Moment-Generating Function and Negative Integer Moments
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Tempered stable distributions and processes
• Title not available (Why is that?)
• Pricing and hedging in exponential Lévy models: review of recent results
• A new look at short-term implied volatility in asset price models with jumps
• Small-Time Asymptotics of Option Prices and First Absolute Moments
• The small-maturity smile for exponential Lévy models
• Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
• High-order short-time expansions for ATM option prices of exponential Lévy models
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Title not available (Why is that?)
• Volatility is rough
• Short-time at-the-money skew and rough fractional volatility
• Maturity cycles in implied volatility
• Pricing under rough volatility
• Title not available (Why is that?)
• Probability
• Title not available (Why is that?)
• Volatility has to be rough
• A fast Monte Carlo scheme for additive processes and option pricing
• Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
• Additive normal tempered stable processes for equity derivatives and power-law scaling

This page was built for publication: Short-time implied volatility of additive normal tempered stable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549591)