48 citations · 88 across the 27 of their papers we have counts for
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q-fin.MF2016
Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
Weston Barger, Matthew Lorig
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series…
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…