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High-Order Short-Time Expansions For Atm Option Prices Of Exponential Lévy Models

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  • José E. Figueroa-López
  • Ruoting Gong
  • Christian Houdré

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  • José E. Figueroa-López & Ruoting Gong & Christian Houdré, 2016. "High-Order Short-Time Expansions For Atm Option Prices Of Exponential Lévy Models," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 516-557, July.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:3:p:516-557
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-3
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    Cited by:

    1. José E. Figueroa-López & Ruoting Gong & Yuchen Han, 2022. "Estimation of Tempered Stable Lévy Models of Infinite Variation," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 713-747, June.
    2. B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Volatility Estimation for L\'evy Processes with Jumps of Unbounded Variation," Papers 2202.00877, arXiv.org.
    3. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps," Finance and Stochastics, Springer, vol. 20(4), pages 973-1020, October.
    4. Jos'e E. Figueroa-L'opez & Ruoting Gong & Yuchen Han, 2021. "Estimation of Tempered Stable L\'{e}vy Models of Infinite Variation," Papers 2101.00565, arXiv.org, revised Feb 2022.
    5. Daniel Hackmann, 2017. "Analytic techniques for option pricing under a hyperexponential L\'{e}vy model," Papers 1705.05934, arXiv.org.
    6. B. Cooper Boniece & Jos'e E. Figueroa-L'opez & Yuchen Han, 2022. "Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations," Papers 2209.10128, arXiv.org, revised Apr 2024.

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