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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

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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…