Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Year of publication: |
January 2016
|
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Authors: | Figueroa-López, José E. ; Ólafsson, Sveinn |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 1, p. 219-265
|
Subject: | Exponential Lévy models | Stochastic volatility models | Short-time asymptotics | ATM option pricing | Implied volatility | Experiment | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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