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20092018
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 31 across the 6 of their papers we have counts for

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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…