High-order short-time expansions for ATM option prices under the CGMY model
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- Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843, arXiv.org, revised Jul 2012.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
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