Third-order short-time expansions for close-to-the-money option prices under the CGMY model
José E. Figueroa-López, Ruoting Gong and Christian Houdré
| Year of publication: |
November 2017
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|---|---|
| Authors: | Figueroa-López, José E. ; Gong, Ruoting ; Houdré, Christian |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 5/6, p. 547-574
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| Subject: | Exponential Lévy models | CGMY models | short-time asymptotics | close-to-the-money option pricing | ATM option pricing | implied volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2018.1429935 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011815299