Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1808-1839
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...
