High-order short-time expansions for ATM option prices of exponential Lévy models
Year of publication: |
July 2016
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Authors: | Figueroa-López, José E. ; Gong, Ruoting ; Houdré, Christian |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 3, p. 516-557
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Subject: | exponential Levy models | CGMY and tempered stable models | short-time asymptotics | at-the-money option pricing | implied volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Derivat | Derivative | Experiment |
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