2 citations · 2 across the 8 of their papers we have counts for
9 papers
Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
José E. Figueroa-López, Ruoting Gong
In the present paper, we study the near-maturity () convergence rate of the optimal early-exercise price of an American put under an exponential Lévy mod…
Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
B. Cooper Boniece, José E. Figueroa-López, Tianwei Zhou
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly t…
Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
José E. Figueroa-López, Jincheng Pang, Bei Wu
For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator b…
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos
Jonathan Chávez-Casillas, José E. Figueroa-López, Chuyi Yu +1
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted…
Data-driven fixed-point tuning for truncated realized variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in pr…
Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widel…
Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely s…
Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
José E. Figueroa-López, Cheng Li
Kernel Estimation is one of the most widely used estimation methods in non-parametric Statistics, having a wide-range of applications, including spot volatility estimation of stoch…
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…