2 citations · 2 across the 5 of their papers we have counts for
5 papers
Higher-order ATM asymptotics for the CGMY model via the characteristic function
Allen Hoffmeyer, Christian Houdré
Using only the characteristic function, we derive short-time at-the-money (ATM) call-price asymptotics for the exponential CGMY model with activity parameter . The Lipto…
Derivatives Along a Curve and the Functional Stochastic Calculus
Christian Houdré, Jorge Víquez
Motivated by extending the functional stochastic calculus, to important functionals to which it does not apply, a notion of functional derivative along a curve is introduced. This…
At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
Allen Hoffmeyer, Christian Houdré
We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a Lévy process. Under…
A covariance representation and an elementary proof of the Gaussian concentration inequality
Christian Houdré
Via a covariance representation based on characteristic functions, a known elementary proof of the Gaussian concentration inequality is presented. A few other applications are brie…
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…