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 $Z=(Z_t{)}_{t\ge 0}$ of the form $Z=U+X$, where $U=(U_t{)}_{t\ge 0}$ is a classical stochastic…