22 citations · 31 across the 6 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2016
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…
q-fin.MF2015★ 1 cited
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…