3 papers
econ.EM2026
Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
B. Cooper Boniece, José E. Figueroa-López, Tianwei Zhou
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly t…
q-fin.MF2025
Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
José E. Figueroa-López, Ruoting Gong
In the present paper, we study the near-maturity () convergence rate of the optimal early-exercise price of an American put under an exponential Lévy mo…
econ.EM2025
Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
José E. Figueroa-López, Jincheng Pang, Bei Wu
For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator…