Jos\'{e} E. Figueroa-L\'{o}pez; Gong, Ruoting; … - arXiv.org - 2013
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, novel third-order approximations for close-to-the-money European option prices under an infinite-variation CGMY L\'{e}vy model are derived, and...