Small-time asymptotics of call prices and implied volatilities for exponential Lévy models
We derive at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a selection of exponential Lévy models, restricting our attention to asset-price models whose log returns structure is a Lévy process. We consider two main problems. First, we consider very general...
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| Format: | Others |
| Language: | en_US |
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Georgia Institute of Technology
2015
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| Online Access: | http://hdl.handle.net/1853/53506 |