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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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Showing 2016Show all

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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…