Search Results - subject:"short-time asymptotics"

Short-time asymptotics for non-self-similar stochastic volatility models

Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo - In: Applied mathematical finance 30 (2023) 3, pp. 123-152

Persistent link: https://www.econbiz.de/10015051230

Short-time asymptotics for marginal distributions of semimartingales

Bentata, Amel; Cont, Rama - HAL - 2012

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous …: whereas the behavior of out-of-the-money options is found to be linear in time, the short time asymptotics of at …

Persistent link: https://www.econbiz.de/10010821352

Third-order short-time expansions for close-to-the-money option prices under the CGMY model

Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574

Persistent link: https://www.econbiz.de/10011815299

High-order short-time expansions for ATM option prices of exponential Lévy models

Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 516-557

Persistent link: https://www.econbiz.de/10011583594

Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265

Persistent link: https://www.econbiz.de/10011460382

ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS

ANDERSEN, LEIF; LIPTON, ALEXANDER - In: International Journal of Theoretical and Applied … 16 (2013) 01, pp. 1350001-1

Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility...

Persistent link: https://www.econbiz.de/10010661004

Asymptotics for exponential Lévy processes and their volatility smile : survey and new results

Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98

Persistent link: https://www.econbiz.de/10009725096