activity
20092023
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 55 across the 16 of their papers we have counts for

collaborators
Showing q-fin.MFShow all

1 paper · 1 filter

q-fin.MF2016

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy models With Local Volatility

José E. Figueroa-López, Ruoting Gong, Matthew Lorig

In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both lo…