We consider a stochastic volatility model with Lévy jumps for a log-return process Z=(Zt)t≥0 of the form Z=U+X, where U=(Ut)t≥0 is a classical stochastic volatility process and X=(Xt)t≥0 is an independent Lévy process with absolutely continuous Lévy measure ν. Small-time expansions, of...

Let X=(Xt)t=0 be a Lévy process with absolutely continuous Lévy measure [nu]. Small-time expansions of arbitrary polynomial order in t are obtained for the tails , y0, of the process, assuming smoothness conditions on the Lévy density away from the origin. By imposing additional regularity...