22 citations · 31 across the 6 of their papers we have counts for
8 papers
Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes
José E. Figueroa-López, Cheng Li, Jeffrey Nisen
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately o…
Estimation of a noisy subordinated Brownian Motion via two-scales power variations
Jose E. Figueroa-Lopez, K. Lee
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the t…
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy models With Local Volatility
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both lo…
Short-time asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
José E. Figueroa-López, Sveinn Ólafsson
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model se…
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
José E. Figueroa-López, Sveinn Ólafsson
In Figueroa-López et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential Lévy models, with or without a Browni…
The small-maturity smile for exponential Levy models
Jose E. Figueroa-Lopez, Martin Forde
We derive a small-time expansion for out-of-the-money call options under an exponential Levy model, using the small-time expansion for the distribution function given in Figueroa-L…