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20062021
most citedRisk bounds for the non-parametric estimation of Lévy processes

46 citations · 98 across the 13 of their papers we have counts for

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q-fin.PR2013

Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model

José E. Figueroa-López, Ruoting Gong, Christian Houdré

A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and is then extended to a model with an additional…