Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with     Lévy Jumps

DMCA

Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy Jumps (2010)

Cached

Download Links

[www.unifr.ch]
[www.stat.purdue.edu]
[www.stat.purdue.edu]
[www.stat.purdue.edu]
[www.stat.purdue.edu]
[arxiv.org]

Save to List
Add to Collection
Correct Errors
Monitor Changes

by J. E. Figueroa-Lopez, et al.

Citations:

14 - 6 self

BibTeX

@MISC{Figueroa-Lopez10small-timeexpansions,
    author = {J. E. Figueroa-Lopez and et al.},
    title = {Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy Jumps },
    year = {2010}
}

OpenURL

Abstract

Keyphrases

option price small-time expansion stochastic volatility model vy jump