High-order short-time expansions for ATM option prices of exponential Lévy models
José E. Figueroa-López, Ruoting Gong and Christian Houdré
| 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 | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12064 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583594