2 papers
q-fin.PR2026
At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
Allen Hoffmeyer, Christian Houdré
We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a Lévy process. Unde…
q-fin.PR2026
Higher-order ATM asymptotics for the CGMY model via the characteristic function
Allen Hoffmeyer, Christian Houdré
Using only the characteristic function, we derive short-time at-the-money (ATM) call-price asymptotics for the exponential CGMY model with activity parameter . The Lipto…