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q-fin.PR2026
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…
q-fin.PR2026
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…
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…