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Statistical estimation of Lévy-type stochastic volatility models
Figueroa-López, José E. - In: Annals of finance 8 (2012) 2/3, pp. 309-335
Persistent link: https://www.econbiz.de/10009548084
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 4, pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202
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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
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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
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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
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Kernel estimation of spot volatility with microstructure noise using pre-averaging
Figueroa-López, José E.; Wu, Bei - In: Econometric theory 40 (2024) 3, pp. 558-607
Persistent link: https://www.econbiz.de/10015055107