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q-fin.MF2025
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…
econ.EM2025
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…