22 citations · 55 across the 16 of their papers we have counts for
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q-fin.PR2013
Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model
José E. Figueroa-López, Ruoting Gong, Christian Houdré
A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and is then extended to a model with an additional…
q-fin.PR2012★ 2 cited
High-order short-time expansions for ATM option prices of exponential Lévy models
José E. Figueroa-López, Ruoting Gong, Christian Houdré
In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential Lévy models with or without Brownian component. The result…
q-fin.PR2010★ 22 cited
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
J. E. Figueroa-López, R. Gong, C. Houdré
We consider a stochastic volatility model with Lévy jumps for a log-return process of the form , where is a classical stochastic…