Third-order short-time expansions for close-to-the-money...

Applied Mathematical Finance 2017 / 11 Vol. 24; Iss. 6

Third-order short-time expansions for close-to-the-money option prices under the CGMY model

Figueroa-López, José E., Gong, Ruoting, Houdré, Christian
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Volume:
24
Language:
english
Journal:
Applied Mathematical Finance
DOI:
10.1080/1350486X.2018.1429935
Date:
November, 2017
File:
PDF, 2.81 MB
english, 2017
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