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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.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…