22 citations · 31 across the 6 of their papers we have counts for
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q-fin.PR2014★ 6 cited
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…
q-fin.PR2011★ 2 cited
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…
q-fin.PR2010★ 22 cited
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
J. E. Figueroa-López, R. Gong, C. Houdré
We consider a stochastic volatility model with Lévy jumps for a log-return process of the form , where is a classical stochastic…