Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
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References listed on IDEAS
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
- Jin Feng & Jean-Pierre Fouque & Rohini Kumar, 2010. "Small-time asymptotics for fast mean-reverting stochastic volatility models," Papers 1009.2782, arXiv.org, revised Aug 2012.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
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