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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…
math.PR2026
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…
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…