"Short-time expansions for close-to-the-money options under a Lévy ..."

José E. Figueroa-López, Sveinn Ólafsson (2016)

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DOI: 10.1007/S00780-015-0281-Z

access: closed

type: Journal Article

metadata version: 2020-07-22

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José E. Figueroa-López, Sveinn Ólafsson:
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. Finance Stochastics 20(1): 219-265 (2016)

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